التفاصيل البيبلوغرافية
| العنوان: |
Expanded BSADF test in the presence of breaks in time trend - a further analysis on the recent bubble phenomenon in China’s stock market. |
| المؤلفون: |
Yu, Jiyu1 jiyu_yu@hust.edu.cn, Ma, Zixiang2 |
| المصدر: |
Applied Economics Letters. Jan2019, Vol. 26 Issue 1, p64-68. 5p. 5 Charts, 2 Graphs. |
| مصطلحات موضوعية: |
*STATISTICS, *STOCK exchanges, *ECONOMIC trends, *ECONOMIC bubbles, *STOCK market bubbles |
| مصطلحات جغرافية: |
CHINA |
| مستخلص: |
Under the framework of time trend breaks, the popular BSADF (backward Sup-ADF) test easily misidentifies the bubble processes. As an extending analysis, we construct a t-statistic to further identify the data feature of the detected bubble periods in BSADF test. For the sake of application, we examine the bubble phenomenon related to recent stock market activity in China. We find that a bubble period estimated by the BSADF test is spurious; the rapid rise of stock market on this period is driven by trend changes and has a solid foundation. [ABSTRACT FROM AUTHOR] |
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| قاعدة البيانات: |
Business Source Index |
