Test Of Existence Of Secondary New Share Bubbles In Chinese Stock Market

As a result of the repeated occurrence of serious bubble events in history,the social stability and the normal operation of the economy was greatly damaged,and the bubble problem has always been one of the concerns of scholars in the economic and financial fields.In recent years,a lot of research achievements on the stock market bubble has been made in domestic.Many experts and scholars also analyzed the stock market bubbles for the specification of the characteristics of Chinese stock market,but overall,these studies pay more attention to the overall situation of Chinese stock market bubble instead of the local bubble.Due to the IPO system and other factors,the Chinese secondary new shares show some different characteristics with other stocks.First of all,the secondary new shares,like new shares,are insufficient for demand.Secondly,most of the secondary new shares are of good fundamentals,and came from emerging industries which has large growth space.In addition,secondary new shares usually have high capital reserve and the dispersed mobile chips.These features make secondary new shares attract the stock market funds' favor and preference,and thus the secondary new shares are more vulnerable to the impact of the other factors.In the current context that the Chinese stock market is not perfect mature,it is necessary to study and discuss the existence and influencing factors of the secondary new shares bubbles.In this paper,we try to use the threshold autoregressive model to test the existence of periodic bursting bubbles in the Chinese secondary new shares,and discuss the influencing factors of the secondary new shares bubbles.This paper firstly reviews the bubble phenomenon and related stock market bubble literature,and then introduces several classic test methods on the stock market bubble,and also compare the advantages and limitations of various test methods;secondly,the threshold autoregressive model is established under the framework of indirect measurement and direct measurement.Under the framework of indirect measurement,the co-integration relationship between the new stock index and the industrial added value,the M1,the consumer price index and the risk-free interest rate is obtained.Based on co-integration residual sequence,we processed to test the existence of bubbles.In the framework of direct measurement,the rational expected residuals of the SZSE Secondary New Share Index are calculated according to the no-arbitrage theory.First,the rational expected residuals at the daily data frequency are calculated and the empirical test is carried out.At the same time,we found that there is a lot of noise in the rational expected residuals at the frequency,thus we increased the time span of the single data acquisition,changing from the daily data frequency to the monthly data frequency,and also through the threshold autoregressive model to analyze the rational expected residuals under the monthly data frequency.The empirical results show that the co-integration residual sequence and the rational expectation residual sequence of the SZSE Secondary New Share Index are non-linear,so the threshold autoregressive model can be more effectively portrayed as a nonlinear model than the general linear model,which can describe the periodic disruptive foam asymmetric process of change and test the existence of bubbles.From January 2011 to May 2017,under the framework of indirect measurement and direct measurement framework,the secondary new share was detected the existence of periodical bursting bubble.Especially in 2015,the SZSE Secondary New Share Index has two obvious bubble phenomena,which shows that during this period of time the secondary new share bubbles are relatively serious.At the end of this paper,we discuss the reasons that may lead to the emergence of secondary new share bubbles,and we think that the causes are divided into two categories,one is Chinese securities market system factors,such as the stock market lacking effective short mechanism and also the insufficiency of new shares caused by the stock market system;the other is the problem of market participation.The current stock market investor structure is not reasonable enough,and the stock market,especially the secondary new shares exist the phenomenon of stock price manipulation,resulting in unrealistic stock prices,and the bubbles also will be generated then.