Identification of China's Stock Market Bubble

Student: Chumachenko Taras

Supervisor: Elena V. Chirkova

Educational Programme: Joint HSE-NES Undergraduate Program in Economics (Bachelor)

Year of Graduation: 2016

The purpose of this work is to diagnose a rational bubble, which arose in China's stock market during the period from 2014 to 2015. Identification of the bubble was performed via analyzing indirect signs of speculative growth on the financial market, as well as the empirical test. Shanghai Composite index and its dividend payments was selected to conduct Right-Tailed Supremum Augmented Dickey-Fuller Test. This test detects the structural change in autoregressive process. Most of the analyzed indirect signs of bubble were detected in the considered time period. In addition, an empirical test also confirmed the existence of a rational bubble in the China’s stock market.

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