An Empirical Research On Bubbles In The Chinese Stock Market

The stock market is very important part of the capital market, it has the function of financing, Resource Allocation, Risk dispersion, switching the information, Property Rights, Restructuring and Macro-Manipulation. It has a very tightness relationship with the national economy. The bubbles of the stock market is a part of economic bubbles. Keeping expanding of the bubbles is the foreboding of economic bubbles. Is there bubbles in the Chinese stock market? Both the academe and the business career have the different opinions to that.This is because they use the different standard and method to test the bubbles. So it is signality to find a good method to test the bubbles for the development of Chinese stock market. This paper does an empirical research on three part of the Chinese stock market, the first is the whole market bubbles; the second is the sector bubbles; and the third is the warrants bubbles. For the whole market bubbles, this paper use the duration analysis to test whether it exits the bubbles, and it is obvious that both shanghai and shenzhen stock market exit the bubbles. For the sector bubbles, we choose seven sectors; they are Finance, IT, Real asset and so on, and finding that Finance, IT and Real asset sectors suffer more bubbles than other sectors. For the warrant bubbles, we choose six warrants, and three of them put warrants,the other call warrants. By the B-S model, we get the academic price. With comparing it to the actual price, all actual price of six warrants are higher than their academic price. And we also find that the three put warrants are far higher than their academic price.