Research on multiple bubbles in China's multi-level stock market.

ABSTRACT: Financial bubbles have always been a topic of long-term concern for economists. Understanding bubble phenomenon and dating the period of bubbles in real time can provide an early warning diagnosis for financial bubbles and help regulatory authorities to control it and maintain market order. The generalized sup ADF (GSADF) and backward sup ADF (BSADF) tests with flexible window width can effectively detect and date periodically collapsing bubbles in real time. Based on the financial present value model, this paper applies right-tail recursive ADF test to test multiple bubbles in China's multi-level stock market. Unlike the other researches in China, the ratios of the real stock prices' natural logarithm to the real dividends' natural logarithm are used for our testing instead of stock price

SUBMITTER: Li G 

PROVIDER: S-EPMC8328329 | biostudies-literature | 2021

REPOSITORIES: biostudies-literature