Stock market bubble migration: from Shanghai to Hong Kong

Research output: Chapter in Book/Report/Conference proceedingChapterpeer-review

Abstract

The speculative nature of the stock market in Mainland China has attracted the attention of many observers. However while the degree of integration of the Hong Kong market with its Mainland counterpart has monopolized the interest of researchers, they have neglected the diffusion of bubbles from the latter to the former. We thus propose the first study of such bubble migration. Focusing on the period 2005-2017, we use the Phillips et al. (2015 a, b) recursive explosive-root test to detect and date speculative episodes in both markets. We then implement the Greenaway-McGrevy and Phillips (2016) methodology to detect the presence of migration between the two markets. We detect significant, but dwindling, bubble migration from Shanghai to Hong Kong.
Original languageEnglish
Title of host publicationUncertainty, expectations and asset price dynamics
Subtitle of host publicationessays in honor of Georges Prat
EditorsFredj Jawadi
Place of PublicationCham, Switzerland
PublisherSpringer, Springer Nature
Chapter8
Pages173-192
Number of pages20
ISBN (Electronic)9783319987149
ISBN (Print)9783319987132
DOIs
Publication statusPublished - 2018

Publication series

NameDynamic modeling and econometrics in economics and finance
PublisherSpringer
Volume24
ISSN (Print)1566-0419
ISSN (Electronic)2363-8370

Keywords

  • Explosive root
  • Bubble
  • Migration
  • Stock market
  • Hong Kong
  • China

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