6,616 research outputs found
Nonlinear bubbles in Chinese Stock Markets in the 1990s
A time series of the Shanghai stock index in China for the 1990s is studied for the possible existence of nonlinear speculative bubbles. Three alternative specifications of fundamentals are estimated using VAR models of domestic and international variables. These are subjected to regime switching tests and rescaled range analysis tests. Nulls of no persistence were mostly rejected, suggesting the strong possibility of bubbles. Nonlinearities beyond ARCH effects using the BDS test could not be rejected. The paper also discusses the special circumstances of the stock market in an emerging transition economy.
Time-varying return predictability in the Chinese stock market
China's stock market is the largest emerging market all over the world. It is
widely accepted that the Chinese stock market is far from efficiency and it
possesses possible linear and nonlinear dependence. We study the predictability
of returns in the Chinese stock market by employing the wild bootstrap
automatic variance ratio test and the generalized spectral test. We find that
the return predictability vary over time and significant return predictability
is observed around market turmoils. Our findings are consistent with the
Adaptive Markets Hypothesis and have practical implications for market
participants.Comment: 11 Latex pages including 2 figures and 1 tabl
Quantum Brownian motion model for the stock market
It is believed by the majority today that the efficient market hypothesis is
imperfect because of market irrationality. Using the physical concepts and
mathematical structures of quantum mechanics, we construct an econophysics
framework for the stock market, based on which we analogously map massive
numbers of single stocks into a reservoir consisting of many quantum harmonic
oscillators and their stock index into a typical quantum open system--a quantum
Brownian particle. In particular, the irrationality of stock transactions is
quantitatively considered as the Planck constant within Heisenberg's
uncertainty relationship of quantum mechanics in an analogous manner. We
analyze real stock data of Shanghai Stock Exchange of China and investigate
fat-tail phenomena and non-Markovian behaviors of the stock index with the
assistance of the quantum Brownian motion model, thereby interpreting and
studying the limitations of the classical Brownian motion model for the
efficient market hypothesis from a new perspective of quantum open system
dynamics
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