@inbook{c30f9e985f604404b432ee3403c879e8,
title = "Stock market bubble migration: from Shanghai to Hong Kong",
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.",
keywords = "Explosive root, Bubble, Migration, Stock market, Hong Kong, China",
author = "Eric Girardin and Roselyne Joyeux and Shuping Shi",
year = "2018",
doi = "10.1007/978-3-319-98714-9_8",
language = "English",
isbn = "9783319987132",
series = "Dynamic modeling and econometrics in economics and finance",
publisher = "Springer, Springer Nature",
pages = "173--192",
editor = "Fredj Jawadi",
booktitle = "Uncertainty, expectations and asset price dynamics",
address = "United States",
}