Bubble diagnosis and prediction of the 2005-2007 and 2008-2009 chinese stock market bubbles
文献类型：期刊论文
| 作者 | Jiang, Zhi-Qiang2,3,4; Zhou, Wei-Xing2,3,4,6; Sornette, Didier1,5; Woodard, Ryan1; Bastiaensen, Ken7; Cauwels, Peter7 |
| 刊名 | Journal of economic behavior & organization
 |
| 出版日期 | 2010-06-01 |
| 卷号 | 74期号:3页码:149-162 |
| 关键词 | Stock market crash Financial bubble Chinese markets Rational expectation bubble Herding Log-periodic power law Lomb spectral analysis Unit-root test |
| ISSN号 | 0167-2681 |
| DOI | 10.1016/j.jebo.2010.02.007 |
| 通讯作者 | Woodard, ryan(rwoodard@ethz.ch) |
| 英文摘要 | By combining (i) the economic theory of rational expectation bubbles, (ii) behavioral finance on imitation and herding of investors and traders and (iii) the mathematical and statistical physics of bifurcations and phase transitions, the log-periodic power law (lppl) model has been developed as a flexible tool to detect bubbles. the lppl model considers the faster-than-exponential (power law with finite-time singularity) increase in asset prices decorated by accelerating oscillations as the main diagnostic of bubbles. it embodies a positive feedback loop of higher return anticipations competing with negative feedback spirals of crash expectations. we use the lppl model in one of its incarnations to analyze two bubbles and subsequent market crashes in two important indexes in the chinese stock markets between may 2005 and july 2009. both the shanghai stock exchange composite index (us ticker symbol ssec) and shenzhen stock exchange component index (szsc) exhibited such behavior in two distinct time periods: (1) from mid-2005, bursting in october 2007 and (2) from november 2008, bursting in the beginning of august 2009. we successfully predicted time windows for both crashes in advance (sornette, 2007; bastiaensen et al., 2009) with the same methods used to successfully predict the peak in mid-2006 of the us housing bubble (zhou and sornette, 2006b) and the peak in july 2008 of the global oil bubble (sornette et al., 2009). the more recent bubble in the chinese indexes was detected and its end or change of regime was predicted independently by two groups with similar results, showing that the model has been well-documented and can be replicated by industrial practitioners. here we present a more detailed analysis of the individual chinese index predictions and of the methods used to make and test them. we complement the detection of log-periodic behavior with lomb spectral analysis of detrended residuals and (h. q)-derivative of logarithmic indexes for both bubbles. we perform unit-root tests on the residuals from the log-periodic power law model to confirm the ornstein-uhlenbeck property of bounded residuals, in agreement with the consistent model of 'explosive' financial bubbles (lin et al., 2009). (c) 2010 elsevier b.v. all rights reserved. |
| WOS关键词 | DISCRETE-SCALE-INVARIANCE ; REAL-ESTATE BUBBLE ; LOG-PERIODICITY ; EARTHQUAKE PREDICTION ; US ; ANTIBUBBLE ; TURBULENCE ; CRASHES |
| WOS研究方向 | Business & Economics |
| WOS类目 | Economics |
| 语种 | 英语 |
| WOS记录号 | WOS:000278157000001 |
| 出版者 | ELSEVIER SCIENCE BV |
| URI标识 | http://www.irgrid.ac.cn/handle/1471x/2410842 |
| 专题 | 中国科学院大学 |
| 通讯作者 | Woodard, Ryan |
| 作者单位 | 1.Swiss Fed Inst Technol, Dept Management Technol & Econ, Financial Crisis Observ, CH-8032 Zurich, Switzerland 2.E China Univ Sci & Technol, Sch Business, Shanghai 200237, Peoples R China 3.E China Univ Sci & Technol, Sch Sci, Shanghai 200237, Peoples R China 4.E China Univ Sci & Technol, Res Ctr Econophys, Shanghai 200237, Peoples R China 5.Univ Geneva, Swiss Finance Inst, CH-1211 Geneva 4, Switzerland 6.Chinese Acad Sci, Res Ctr Fictitious Econ & Data Sci, Beijing 100080, Peoples R China 7.BNP Paribas Fortis, B-1000 Brussels, Belgium |
| 推荐引用方式 GB/T 7714 | Jiang, Zhi-Qiang,Zhou, Wei-Xing,Sornette, Didier,et al. Bubble diagnosis and prediction of the 2005-2007 and 2008-2009 chinese stock market bubbles[J]. Journal of economic behavior & organization,2010,74(3):149-162. |
| APA | Jiang, Zhi-Qiang,Zhou, Wei-Xing,Sornette, Didier,Woodard, Ryan,Bastiaensen, Ken,&Cauwels, Peter.(2010).Bubble diagnosis and prediction of the 2005-2007 and 2008-2009 chinese stock market bubbles.Journal of economic behavior & organization,74(3),149-162. |
| MLA | Jiang, Zhi-Qiang,et al."Bubble diagnosis and prediction of the 2005-2007 and 2008-2009 chinese stock market bubbles".Journal of economic behavior & organization 74.3(2010):149-162. |
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来源：中国科学院大学
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