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

• DOI: 10.1371/journal.pone.0255476
• Publication Date: 2021-08-02T17:32:55Z
• Authors: Ge Li; Ming Xiao; Xionghui Yang; Ying Guo; Shengyi Yang
• Keywords: Economic bubble; Stock (firearms); Empirical Research

Financial bubbles have always been a topic of long-term concern for economists. Understanding bubble phenomenon and dating the period in real time can provide an early warning diagnosis financial help regulatory authorities to control it maintain market order. The generalized sup ADF (GSADF) backward (BSADF) tests with flexible window width effectively detect date periodically collapsing time. Based on present value model, this paper applies right-tail recursive test multiple China’s multi-level stock market. Unlike other researches China, ratios prices’ natural logarithm dividends’ are used our testing instead price index. Empirical results show that there 8 Main-Board Market, 6 Small Medium Enterprises Board (SMEs), 4 Growth Enterprise Market (GEM). These liquidity-driven presuppose loose credit cycle, exception 2014–2015. frequent emergence short indicates is still emerging In addition, fluctuations imply serious “herd effect” lack monitoring mechanism risk. This study not only enrich real-time dynamic research periodical market, but also empirical reference investors’ investment choices, decisions listed companies authorities.