Characteristics and Contagion Mechanism of Sector Bubbles in the Chinese Mainland Stock Market:Insights from the Generalized Sup ADF Test and R-Vine Copula Model
Facing challenges posed by domestic macroeconomic pressures and unpredictable financial market dynamics,Chinese mainland stock market often encounters periodic bubbles and associated financial systemic risks.This study leverages data from select Chinese stock indices spanning September 2011 to July 2023.It examines the presence of potential periodic bubbles and delves into the nature of these bubbles.Moreover,it pinpoints their respective emergence and dissipation periods.The author employs an R-Vine Copula model to pinpoint the key stock indices influencing risk contagion.The purpose is also to develop conditional frameworks to unpack the complexities of contagion correlations and underlying mechanisms.The findings indicate the ubiquitous presence of bubbles across all stock index sequences during the sampled period.Notably,emotional cycles and market interconnectedness emerge as defining traits of bubbles in the main board market.In this case,bubbles in the ChiNext board demonstrate seasonal patterns and ties to innovative activities.In the midst of informational asymmetries and herd-like selling behaviors,the intricate interplay among various components gives rise to a self-organizing bubble formation process.Additional investigations reveal an inverse relationship between the intensity of stock index risk transmission and the level of connectivity,influenced by spillover effects.It showcases both correlational shifts and asymmetrical attributes.Ultimately,this paper sheds light on the defining characteristics,developmental processes,and risk propagation mechanisms of periodic bubbles within Chinese mainland stock market.This research offers valuable theoretical insights and empirical evidences to support the sound growth of the stock market,the establishment of risk monitoring and mitigation strategies,and the exploration of capital markets'effectiveness in bolstering the real economy.
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