Duration dependence test for rational bubbles in Chinese stock market

Abstract

This article applies duration dependence tests to analyse the rational speculative bubbles in Chinese stock market. The results show that the probability of ending a run of positive excess returns decreases with the length of the run. Together with the evidence of autocorrelation and leptokurtosis, we confirm the existences of speculative bubbles. This can be explained by Chinese stock market's institutional characteristics.

Acknowledgement

This research was supported by the Fund for ‘Study on the Evolution of Complex Economic System’ at ‘Innovation Center of Economic Transition and Development of Nanjing University’ of Ministry of Education, China.