Ths s an eleconc en of he ognal acle. Ths en may dffe fom he ognal n agnaon and yogahc deal. Auho(s): Lehonen, He Tle: Bubbles n Chna Yea: 200 Veson: Please ce he ognal veson: Lehonen, H. (200). Bubbles n Chna. Inenaonal Revew of Fnancal Analyss, 9 (2), 3-7. do:0.06/j.fa.200.0.005 All maeal suled va JYX s oeced by coygh and ohe nellecual oey ghs, and dulcaon o sale of all o a of any of he eosoy collecons s no emed, exce ha maeal may be dulcaed by you fo you eseach use o educaonal uoses n eleconc o n fom. You mus oban emsson fo any ohe use. Eleconc o n coes may no be offeed, whehe fo sale o ohewse o anyone who s no an auhosed use.
Bubbles n Chna He Lehonen * School of Busness and Economcs, Unvesy of Jyväsylä, Po-Box 35, 4004 Jyväsylä, Fnland Absac Ths sudy examnes aonal bubbles n Chnese soc maes and Chna-elaed shae ndces n Hong Kong. A duaon deendence es s emloyed fo boh monhly and weely abnomal mae euns of he Shangha and Shenzhen A- and B-maes as well as fo he Hong Kong Chna Eneses and Chna Afflaed Cooaons ndces. The es esuls ae mxed, as weely daa demonsae bubbles fo all of he Manland Chnese soc maes, bu monhly daa do no show bubbles fo any of he examned maes. Nehe of he daases ndcaes bubbles n he Hong Kong maes. Resuls ndcae ha, n ems of bubbles, segmenaon does no lay a sgnfcan ole n bubble exsence and ha he soc maes of Manland Chna behave smlaly bu canno be comaed o he moe develoed maes of Hong Kong. In he lgh of he esuls, he agumen ha duaon deendence es s sensve o he use of weely vesus monhly daa, can also be genealzed o emegng maes. Thus fo conssen bubble esuls, s ecommendable o emloy he duaon deendence es o boh weely and monhly daa ogehe wh faconal negaon es. JEL classfcaon: G4; C4; C52 Keywods: Duaon deendence; Raonal bubbles; Chnese soc mae * Tel. +358 4 260 2956 E-mal addess: he.lehonen@jyu.f
. Inoducon Chna s soc mae has been unde an nensve nvesgaon dung he las decade. Is eve-gowng sze and moance o he wold s caal maes and esecally o he develomen of Eas Asa as well as s unque chaacescs have ganed he neess of boh scholas and acones. Ths eseach sudes he esence of soc mae bubbles n Chnese soc maes by examnng boh of Chna s soc exchanges, Shangha and Shenzhen, and he A- and B-shae maes. Fo he comason, also he Chna-elaed shae ndces of Hong Kong ae suded. Usng of weely and monhly daase wos boh as a obusness chec and smulaneously as a sensvy es fo duaon deendence mehod ha s used fo bubble esng. Snce he foundng of he soc maes of Chna a he begnnng of 990s, hey have exeenced, ogehe wh Chna s economy, a emendous gowh. The numbe of socs has nceased fom 3 n 990 o 434 n 2006 and he mae caalzaon has gown fom $.3 bllon o moe han $000 bllon dung he same me. When measued wh mae caalzaon, Chna s he second bgges economy n Asa- Pacfc egon afe Jaan and he mos moan emegng mae n he wold. An exlosve gowh of Chna s soc maes beween 2005 and 2007 led nvesos o susec of an exsence of a bubble n he maes. Howeve, a see declne beween 2007 and 2008 wed away hese suscons. So fa hee has no been a sysemac sudy on whehe he bubble eally bus o was hee sll a n he ces afe he declne. Ths ae ams o clafy hs suaon. Fo academcs, Chna s soc maes ceae an neesng eseach envonmen snce hey have seveal unque chaacescs. Due o hsocal easons, unl yea 2006, a ycal fm s shaes wee sl no sae shaes, legal-eny shaes and adable shaes fom whch only adable shaes, whch accouned abou 30% of all shaes, wee adable n soc exchanges. The soc exchanges hemselves, locaed n Shangha and Shenzhen, ae segmened no A- and B-shae classes whch ae all suded n hs eseach. A- and B-shaes ae smla n he sense ha hey have he same vong ghs and ean he same dvdends, howeve A-shaes cos abou fou mes moe han B-shaes (Fenald and Roges, 2002). A-socs wee ognally nended only fo he Manland Chnese whle B- socs wee mean fo foegnes. The boundaes have afewads dmnshed, snce n 200 he Manland Chnese wee allowed o nves n B-socs and n 2002 a Qualfed Foegn Insuonal Inveso ogam was esablshed allowng cean foegn nsuons o nves n A-shaes. Howeve, hee sll exs dffeences beween he soc classes. Fo examle, Tan e al. (2008) eo ha he A-shae maes ae domnaed by domesc ndvdual nvesos who ycally lac he nowledge and exeence n nvesng whle he B-maes ae domnaed by moe sohscaed foegn nsuonal nvesos. In addon, Jacobson and Lu (2008) have found ha an A-shae soc mae can be bee caegozed as a develoed mae han as an emegng mae, whle he esuls fo B-shaes ae he oose. Fo hs comason, he Chna-elaed ndces fom Hong Kong s moe effcen and moe develoed soc maes ae also suded. Eun and Huang (2007) menon also ha he soc maes of Chna ae clamed o be chaoc, ahe aonal and neffcen. Thus he envonmen s suable fo a develomen of a bubble and due o he sho sellng ohbon, he bubble busng would cause losses o
all nvesos and he effecs could also each he counes unde Chna s nfluence, esecally Asa s emegng maes. The las conbuon of he sudy s elaed o bubble esng. Ths ae emloys he duaon deendence es develoed by McQueen and Tholey (994) whch has ganed omnence n bubble esng dung he las decade and has been used, fo examle, by Zhang (2008). By usng weely and monhly daa, boh, he obusness of he esuls and he sensvy of he es o he daa choces can be examned. So fa, mae bubbles n Chna have been suded wh daly (Ahmed e al., 2006), weely (Zhang, 2008) and monhly (Lng e al., 2007; Sano and Taylo, 999) daa, and he esuls have been ahe smla: a bubble has develoed n Chnese soc maes. Whle he me eod fo he evous sudes s mosly lmed o he 990s, wh Zhang (2008) eachng 200, hs sudy exends he daa eod fom he begnnng of 990s all he way o he end of 2008, and hus aes no accoun he seady decease n he mae n he begnnng of he 2s cenuy, he exlosve gowh ha followed, and he see declne of he ndces afe Ocobe 2007 manly esulng fom he global economc css. A he momen, many exsng bubble ess have one hng n common: hey ae no vey good a deecng bubbles (Güayna, 2008). The duaon deendence es can ovecome mos of he ccsms lad agans he adonal bubble ess; s advanages ae ha s unque o bubbles, addesses nonlneay and does no eque he coec denfcaon of he obsevable fundamenal vaables. Howeve, Haman and Zuehle (2004) have examned he mehod usng secues daa fom he New Yo and he Amecan Soc Exchanges and ecognze seveal sensves esulng fom he secfcaon decsons of he es. They have found nconssency n he esuls obaned usng weely and monhly daa. Thus, n ode o ncease he obusness of he esuls and also o sudy he sensvy of he duaon deendence mehod n an emegng mae, hs eseach sudes bubbles usng boh weely and monhly daa. Zhang (2008) also uses boh daases, bu does no eo he duaon deendence esuls of monhly daa a all. The esuls of he bubble ess ae mxed. Fo weely daa, bubbles can be found n boh of he Manland Chnese soc exchanges shae classes. Howeve, monhly daa do no confm hese esuls, as hey fal o fnd bubbles n any of he suded maes. Nehe daase eveals bubbles n he Hong Kong Soc Exchange. Though he esuls leave he queson of bubbles n Chna sll oen, hey ovde evdence ha he segmenaon of he maes does no lay a sgnfcan ole n bubble exsence. I can also be concluded ha Chna s soc maes have no ye eached he effcency level of he Hong Kong soc exchange and nehe of he shae classes can be caegozed as develoed when caegozng s done accodng o he exsence of bubbles. In addon, he esuls exand he conclusons of Haman and Zuehle (2004), egadng he sensvy of he duaon deendence es fo he use of dffeen daa eods, o also concen emegng maes. Thus he duaon deendence es should be used caefully and he esuls should be confmed by usng a leas boh, weely and monhly daa. I s efeable o use anohe omsng bubble mehod, faconal negaon es, ogehe wh he duaon deendence es as Hassan and Yu (2007) have done. Remande of hs sudy s oganzed as follows: The second secon esens a aonal bubble model and he duaon deendence es, whch s used o es fo he exsence of 2
3 bubbles. The hd secon esens he daa and he es esuls, and he fouh secon concludes. 2. Raonal bubble model and duaon deendence es The aonal bubble model allows he soc ces o dvege fom he fundamenal value, even hough nvesos ae no aonal. Ths nd of bubble ases f nvesos ealze ha he socs ae oveced bu ae eaed o ay he hghe ce, execng ha ohe nvesos wll ay an even hghe ce. Thus, he s ha he bubble wll bus s comensaed fo by hghe osve euns. A smle effcen mae model suggess ha he execed eun of an asse s equal o he equed eun R E, () whee E denoes mahemacal execaons gven he nfomaon se a me, s he me-vayng equed ae of eun and R s he eun of an asse a me, d R. (2) A eaangemen of equaon (2) leads o he mlcaon ha he cuen ce of a soc equals he sum of execed fuue ce and dvdends dscouned a he eun equed by nvesos, ) ( d E. (3) Calculang hs fowad eods yelds he sem-educed fom E d E. (4) In ode o oban a unque soluon o he equaon (4), s assumed ha he execed dscouned value of he soc n he ndefne fuue conveges o zeo: 0. lm E (5) Wh hs assumon, a fundamenal value of he asse can be solved fom he equlbum condon d E. (6) Howeve, as Blanchad and Wason (982) among many ohes noe, abandonng he convegence assumon leads o an nfne numbe of soluons. Any ce of he fom b, (7) whee b b E ) (, (8)
s also a soluon fo he gven equaon. Equaon (7) saes ha he mae ce of an asse can devae fom he fundamenal value by a bubble faco f on aveage he faco gows a he equed ae of eun. Equaon (7) also ules ou negave bubbles snce hey would have o gow moe negave ove me, ye oal soc ces wll neve be negave. The aonal seculave bubble model allows fo unexeced ce changes ( R ) fom wo unobsevable souces: unexeced changes n he fundamenal value, d ), (9) ( and unexeced changes n he value of he bubble, b ) b. (0) ( The obsevable unexeced ce change,, equals he sum of he fundamenal and bubble changes, ( ) (( ) b a0 ), wh obably, ( ) b a, wh obably (- ). () 0 As equed by he effcen mae condon, he execed value of oal ce nnovaon s zeo. Howeve, he obably of a osve nnovaon o an abnomal eun nceases f he fundamenal nnovaons ae symmec aound zeo. Ths s due o he nheen sewness of he bubble nnovaons. As he bubble comonen gows, begns o domnae he fundamenal comonen.e., ha oon of he soc ce deemned by he dscouned value of fuue cash flows. The bubble's nnovaon s osve and small elave o an nfequen bu lage negave nnovaon f buss. The asymmey of bubble nnovaons esuls n obseved abnomal euns ha end o be a osve whle he bubble connues, causng auocoelaon and longe uns of osve abnomal eun han execed fom a emoally ndeenden sees. Ths s he logc behnd he duaon deendence es fo aonal seculave bubbles. The duaon deendence es develoed by McQueen and Tholey (994) has ganed omnence n esng fo aonal bubbles. Duaon deendence s a chaacesc of he hazad funcon fo duaon mes. If f denoes he densy funcon fo duaon mes and F he coesondng dsbuon funcon, hen he hazad funcon h s defned as he condonal densy funcon fo duaon of lengh, gven ha duaon s no less han ; ha s, h f /( F ). The hazad funcon exhbs osve (negave) duaon deendence f h s nceasng (deceasng) n. If ces conan bubbles, he uns of osve abnomal euns wll exhb negave duaon deendence;.e., he condonal obably of a un endng, gven s duaon, s a deceasng funcon of he duaon of he un. The duaon deendence es eques ha euns ae ansfeed no a sees of un lenghs on osve and negave obseved abnomal euns and he numbes of uns of acula lengh ae hen couned. A un s defned as a sequence of abnomal euns of he same sgn. Fomally, he examned daa conss of a se, S, of T b T 4
obsevaons on he andom un lengh. Tess fo duaon deendence ae mlemened by examnng he hazad ae fo osve and negave uns. The hazad ae s defned as he obably of obanng a negave eun ( osve euns ( 0 h 0 ) gven a sequence of o ). In he esence of a aonal bubble, he hazad ae h P( 0 0, 2 0,..., 0, 0) deceases wh fo all. Snce bubbles canno be negave, a smla nequaly does no hold fo uns of negave abnomal euns. Thus bubbles geneae duaon deendence n uns of osve, bu no negave, abnomal euns. The samle hazad ae fo each un lengh s comued as hˆ N /( M N ), whch s deved fom maxmzng he log lelhood funcon of he hazad funcon wh esec o h.e., h h L ( S ) N lnh M ln( h ) Q ln( h ), (2) T whee s he numbe of comleed uns of lengh n he samle, and and Q ae he numbes of comleed and aal uns wh lenghs geae han, esecvely. The em conanng n he log lelhood (equaon (2) s ncluded o ncooae nfomaon conaned n aal uns and may be gnoed n lage samles. To es he null hyohess of no aonal bubbles, s necessay o choose a oe funconal fom fo hazad funcon. The duaon deendence n hs ae ae based on he logscal ansfomaon of he log of : h ( ln ) e. (3) N Q The log-logscal funcon changes he unbounded ange of and ln no he (0,) sace of, whch s he condonal obably of endng a un. The null hyohess of no bubbles suggess ha osve and negave abnomal euns occu andomly.e., he obably of a un s endng s ndeenden of o euns. Theefoe, he null hyohess of no duaon deendence s H 0 : 0, whch means a consan hazad ae. The alenave bubble hyohess suggess ha he obably of a negave abnomal euns occu andomly bu a osve un s endng should decease wh he un lengh, whch means ha he value of he sloe aamee s negave ( H : 0, deceasng hazad ae). The duaon deendence es s efomed by subsung Equaon (3) n Equaon (2) and maxmzng he log lelhood funcon wh esec o and. The aamees of he hazad funcon ae esmaed va a log egesson whee he ndeenden vaable s he log of he cuen un lengh and he deenden vaable s f he un ends n he nex eod and 0 f does no. Unde he null hyohess of no bubble 2 ( 0 ), he lelhood ao es (LRT) s asymocally dsbued wh one degee h of feedom: LRT = 2 [Log unesced Log esced] ~ 2. 3. Duaon deendence and Chnese soc maes M 5
Ths sudy focuses on nvesgang he ce ndces of boh Manland Chna and Hong Kong. The sang daes of he ndces ae Januay and Mach 992 fo Shangha A (SHA) and B (SHB), Ocobe 992 fo Shenzhen A (SZA) and B (SZB), and Januay and July 993 fo he Hong Kong Chna Eneses (HKE) and Chna Afflaed Cooaons (HKA) ndces, esecvely. To add obusness o he esuls, boh monhly and weely euns ae examned. Thee ae seveal easons fo hs. Fs, he bubble heoy gves no ndcaon of he ycal lengh of a bubble, hough accal leaue mles ha bubbles may buld u ove a numbe of monhs and even yeas. Second, monhly euns may be aoae, snce a hgh sgnal-o-nose ao n weely euns could cause bubble-elaed uns o be neued by nose, mang bubble deecon dffcul. Howeve, ang no accoun he elavely sho daa sees of he eseach, monhly euns may lac he owe and hus weely euns may be moe aoae. The use of wo daases also hels o nvesgae he sensvy of he duaon deendence es fo he use of monhly vesus weely abnomal euns. The daa eanng o he monhly ndces ae based on he closng ces fo he 5h of each monh. The duaon deendence ess fo weely daa ae conduced usng weely daa fo Wednesday closng ces. In he even ha he Wednesday s a holday o a non-adng day, ha Tuesday s close s used. If Tuesday s daa ae also unavalable, ha Monday s close s used. In he ae case whee he Monday close s also unavalable, he euns fo he wee ae combned wh hose fo he followng wee. All ce ndces ae exessed n local cuences, exce fo Shangha B and Shenzhen B, whch ae denomnaed n US and Hong Kong dollas, esecvely. The daa ae avalable n Daaseam. The ces ae ansfomed no connuously comounded euns, R 00*(lnP lnp ), whee s he ndex closng ce fo eod, and s he ce fo he ecedng eod. All ess ae conduced on nomnal euns. To ovde geneal undesandng of he naue of he dffeen Chnese soc maes, Table esens some sylzed evdence egadng soc mae behavo usng weely daa. The able conans he numbe of eun obsevaons fo he soc ndces and sascs, esng he null hyohess fo eun sees ndeendence. The descve sascs fo he euns ae he mean, sandad devaon, sewness and uoss fo he soc euns of each mae. In addon, Ljung-Box Q-sascs fo he auocoelaon ae also esened. P Table hee P The aonal seculave bubble model mles negave sewness n euns. Ths can be obseved fom Hong Kong bu no fom Manland Chna. All of he mae euns ae leouoc.e., hey have "fa als," whch s also conssen wh he esence of bubbles (geae sandad devaons as he bubble gows). Accodng o he aonal seculave bubble model, soc euns should be auocoelaed, snce euns end o be osve as he bubble gows. Thus, he ndeendence of he euns sees needs o be nvesgaed. The Ljung-Box omaneau es sascs fo fve lags (denoed by Q(5)) ndcae ha all of he maes exce Shenzhen A have sgnfcan auocoelaon, whch s conssen wh aonal bubbles. Fo monhly euns, he sewness and uoss esuls ae que smla, bu sgnfcan auocoelaon can be found only n SHA and HKA. 6
One chaacesc of a aonal bubble s ha he hazad ae should be a declnng funcon of osve uns; ohewse, a bubble canno be susaned. The samle hazad aes can be used o deemne he obably ha a secfc osve un lass fo a acula lengh of me, gven ha he un has lased unl. The no-bubble null hyohess mles a consan hazad ae, and he bubble alenave suggess ha he obably of a osve un s endng should decease wh he un lengh;.e., he value of he sloe aamee s negave, whch sgnfes deceasng hazad aes. Tables 2 and 3 esen he esuls of duaon deendence es fo weely and monhly euns, esecvely, by showng he numbes of euns and he maxmum lelhood esmaes of he log-logsc funcon aamees of Equaon (3). Weely uns ae ceaed usng he sgn of he eo em fom an AR(4) model of weely euns and fo he monhly euns, osve and negave abnomal euns ae defned elave o he n-samle mean. Table 2 hee Table 3 hee ( 0) ( 0) Fom ables 2 and 3, can be seen ha fo weely daa he Shangha A-shae ndex has a sgnfcan negave sha coeffcen of -0.620 fo he samle eod. The lelhood ao es (LRT) of he null hyohess of no duaon deendence o consan hazad ae ( H 0 : 0 ) s ejeced a he % sgnfcance level wh he LRT=20.473. Smla fndngs ae also eoed fo Shangha B- and Shenzhen A- and B-ndces. As fo uns of negave abnomal euns he consan hazad ae s no ejeced fo any of he maes, he esuls mly exsence of bubbles n all of he Manland Chnese soc maes. Howeve, monhly daa lead o dffeen conclusons. Fo Shenzhen B, he on esmae s negave, bu he coeffcen s no sgnfcan. Fo he es of he maes, s osve. Thus, he null hyohess of no bubbles canno be ejeced n any of he maes. The esuls fo HKE and HKA show no evdence of aonal seculave bubbles. The emcal fndngs fom weely daa ndcae ha aonal bubbles can be found n all of he Manland Chna maes. These esuls ae conssen wh he esuls obaned by evous sudes (Ahmed e al., 2006; Sano and Taylo, 999; Zhang, 2008), whch have usually used he 990s as he me eod. Howeve, he monhly daa queson hese esuls as hey fal o yeld evdence of bubbles n any of he maes. The soc ndces n he moe develoed maes of Hong Kong show no evdence of bubbles wh ehe daase. The esuls confm he conclusons of Haman and Zuehle (2004) ha he duaon deendence es s sensve o he use of weely vesus monhly esuls. Thus, he elably of duaon deendence es fo bubble deecon s quesonable. szb 4. Conclusons Rad gowh n Chnese soc maes dung 2006 and 2007 led o bubble suscons among nvesos, bu he see declne of he ndces ha followed changed suaon o be moe unclea. Ths sudy aems o shed lgh on hese ssues by nvesgang bubbles 7
fom boh of Chna's soc exchanges, usng weely and monhly daases angng fom he begnnng of 992 o Ocobe 2008. The man economec mehod emloyed s he duaon deendence es, and he esuls ae comaed o he ones obaned fom he Chna-elaed ndces of he Hong Kong Soc Exchange. The use of wo daases has wo funcons: adds obusness o he esuls and smulaneously wos as a sensvy es fo he duaon deendence es. Descve sascs ndcae he ossble exsence of bubbles, snce some auocoelaon and nonnomaly of euns, whch ae conssen wh he bubble model, can be found n mos of he maes. Howeve, he duaon deendence es yelds mxed esuls. Fo weely daa, shows bubbles n all of he Manland Chnese maes, bu monhly daa do no suo hs, as hey fal o fnd bubbles fom any of he maes. Alhough he esuls do no gve a clea answe o he bubble queson, hey damen bubble suscons and a he same me, lead o he concluson ha he laws and egulaons of Chnese soc maes have no ye eached he same level as he ones n Hong Kong, whee nehe of he daases show bubbles. I can also be concluded ha even hough he A-shaes ae domnaed by ndvdual and B-shaes by moe sohscaed nsuonal nvesos, hee ae no dffeences n bubble exsence. Thus he segmenaon does no have a sgnfcan effec n bubble develomen. The esuls also queson he conclusons of Jacobsen and Lu (2008) by suggesng ha nehe of Chna s soc exchanges and nehe of he soc classes ae comaable wh develoed maes when he comaably s measued by he exsence of bubbles. Ineesng fuue eseach ocs would nclude nvesgang he means of movng he effcency of Chnese soc maes as well as he conegaon beween he shae ndces of Manland Chna and Hong Kong. The unceany abou he bubble exsence weaens he nvesos confdence o Chna s soc maes. Due o he ohbon of sho sellng s mossble o benef fom declnng ces and hus nvesos should be exa caeful when decdng whehe o nves o Chna o no. In addon, as he sho sellng escon has no been able o even he develomen of song bubble suscons, s effecveness as a bubble evenng measue s dubous. The esuls suo he concluson made by Haman and Zuehle (2004) abou he duaon deendence es s sensve o he use of weely vesus monhly euns. As he esuls fom Chna suo hs concluson he fndng can be genealzed o nclude emegng maes as well. Ths has o be aen no accoun when usng he duaon deendence es and n ode o ge moe conssen esuls he bubble exsence should be suded a leas wh boh weely and monhly daa. Bubbles can also be suded by usng anohe omsng mehod, he faconal negaon es, whch s used fo examle by Cuñado e al. (2005) and Kousas and Seles (2005). The mos efeable oon s o use boh, he duaon deendence and faconal negaon ess, as Hassan and Yu (2007) have done. Refeences Ahmed, E., L, H. and Baley Rosse, J, 2006. Nonlnea bubbles n Chnese soc maes n he 990s. Easen Economc Jounal 32, -8. 8
Blanchad, O.J. and Wason, M.W., 982. Bubbles, aonal execaons and fnancal maes. In: Wachel, P. (Ed.), Css n he Economc and Fnancal Sysem. Lexngon Boos, MA, 295-35. Cuñado, J., Gl-Alana, L.A. and Peez de Gaca, F., 2005. A es fo aonal bubbles n he NASDAQ soc ndex: A faconally negaed aoach. Jounal of Banng & Fnance 29, 2633-2654. Eun, C.S. and Huang, W., 2007. Asse cng n Chna s domesc soc maes: Is hee a logc?. Pacfc-Basn Fnance Jounal 5, 452-480. Fenald, J. and Roges, J.R., 2002. Puzzles n he Chnese soc mae. The Revew of Economcs and Sascs 84, 46-432. Güayna, R.S., 2008. Economec ess of asse ce bubbles: Tang soc. Jounal of Economc Suveys 22,66-86. Haman, Y.S. and Zuehle, T.W., 2004. Duaon deendence esng fo seculave bubbles. Jounal of Economcs and Fnance 28, 47-54. Hassan, K.M. and Yu, J-S., 2007. Raonal Seculave Bubbles: An Emcal Invesgaon of he Mddle Eas and Noh Afcan Soc Maes. Newos Fnancal Insue Wong Pae No. 2007-WP-3. Jacobsen, B.J. and Lu, X., 2008. Chna s segmened soc mae: An alcaon of he condonal nenaonal caal asse cng model. Emegng Maes Revew 9, 53-73. Kousas, Z. and Seles, A., 2005. Raonal bubbles o essen devaons fom mae fundamenals?. Jounal of Banng & Fnance 29, 2523-2539. Lng, W., Bo, L. and Gao-feng, Z., 2007. Tes and analyses fo bubbles on Chnese soc mae n mege & acquson. Pae esened n IEEE Inenaonal Wosho on Inellgen daa acquson and advanced comung sysems: Technology and alcaons, 6-7 Seembe 2007, Domund, Gemany. McQueen, G. and Tholey, S., 994. Bubbles, soc euns and duaon deendence. The Jounal of Fnancal and Quanave Analyss 29, 379-40. Sano, L. and Taylo, M.P., 999. Moal hazad, asse ce bubbles, caal flows, and he Eas Asan css: he fs ess. Jounal of Inenaonal Money and Fnance 8, 637-657. Tan, L., Chang, T.C., Mason, J.R. and Nellng, E., 2008. Hedng behavo n Chnese soc maes: An examnaon of A and B shaes. Pacfc-Basn Fnance Jounal 6, 6-77. Zhang, B., 2008. Duaon deendence es fo aonal bubbles n Chnese soc mae. Aled Economcs Lees 5, 635-639. 9
Table. Descve sascs of weely euns Shae ndex N Mean SD Sewness Kuoss SHA 865 0.208 6.65 2.05 26.05 SHB 856-0.03 5.57 0.24 5.65 SZA 824 0.069 5.266 0.9 0.7 SZB 824 0.053 5.477 0.67 9.95 HKE 825 0.05 5.652-0.7 5.44 HKA 797 0.062 5.547-0.4 6.75 Q(5)- sascs 20.87 (0.0009) 23.33 (0.0003) 9.5 (0.0903) 39.80 (0.000) 2.79 (0.0255) 9.03 (0.009) Table 2. Duaon deendence es esuls fo weely euns Mae SHA SHB SZA SZB HKE HKA Numbe of euns Posve 208 98 20 83 9 203 Negave 208 99 202 84 9 204 Toal 46 397 403 367 382 407 Posve un es Α 0.290** 0.94 0.228* 0.09 0.003-0.92 Β -0.620*** -0.396** -0.462*** -0.385** -0.264* -0.02 LRT 20.473*** 6.056** 8.96*** 6.258** 2.974* 0.09 (-value) (0.000) ( 0.04) (0.003) (0.02) (0.085) (0.89) Negave un es Α -0.068-0.324** -0.089-0.3-0.087 0.57 Β 0.023 0.2 0.069-0.24* 0.64 0.073 LRT 0.020 0.595 0.6 3.009 0.788 0.35 (-value) (0.888) (0.440) (0.689) (0.083) (0.375) (0.74) Noes: The duaon deendence es s efomed on monhly nomnal euns. Posve and negave abnomal euns ae defned elave o he sgn of he eo fom a weely AR(4) model. Acual un couns do no nclude he aal uns whch may occu a he begnnng o a he end of eod nvesgaed. Toal uns ae he numbe of oal osve and negave uns. s he hazad ae whch s esmaed usng a log egesson whee he ndeenden vaable s he log of cuen lengh of uns and deenden vaable s f a un ends and 0 f does no end n he nex eod. The lelhood ao es (LRT) of he null hyohess of no duaon deendence o consan hazad ae ( H : 0 ) s 0 2 asymocally dsbued wh one degee of feedom. -value s he magnal sgnfcance level, whch s he obably of obanng he value of he LRT o hghe unde he null hyohess. ***, ** and * ndcae sgnfcance a %, 5% and 0% levels. 0
Table 3. Duaon deendence esuls fo monhly euns Mae SHA SHB SZA SZB HKE HKA Numbe of euns Posve 42 46 45 44 37 44 Negave 42 47 46 45 37 44 Toal 84 93 9 89 74 88 Posve un es Α -0.36-0.99-0.047 0.235-0.69** -0.789*** Β 0.299 0.364 0.42-0.04 0.277 0.78** LRT 0.626 0.898 0.37 0.00 0.79 4.637** (-value) (0.429) (0.343) (0.7) (0.974) (0.397) (0.03) Negave un es α -0.47-0.330-0.240-0.30-0.436 0.306 β -0.06 0.78 0.044-0.63 0.52-0.47 LRT 0.003 0.266 0.07 0.296 0.75.24 (-value) (0.959) (0.606) (0.896) (0.587) (0.675) (0.265) Noes: The duaon deendence es s efomed on monhly nomnal euns. Posve and negave abnomal euns ae defned elave o he n-samle mean. Acual un couns do no nclude he aal uns whch may occu a he begnnng o a he end of eod nvesgaed. Toal uns ae he numbe of oal osve and negave uns. s he hazad ae whch s esmaed usng a log egesson whee he ndeenden vaable s he log of cuen lengh of uns and deenden vaable s f a un ends and 0 f does no end n he nex eod. The lelhood ao es (LRT) of he null hyohess of no duaon deendence o consan hazad ae ( H : 0 ) s asymocally dsbued 2 0 wh one degee of feedom. -value s he magnal sgnfcance level, whch s he obably of obanng he value of he LRT o hghe unde he null hyohess. ***, ** and * ndcae sgnfcance a %, 5% and 0% levels.