Industry Bubble Analysis Based On GSADF Test

The splited share reform in 2005 marked with the stock market entering into the growth period with the coexistence of opportunities and challenges.The stock market is in the core position of the capital market with its functions on the resources allocating,investment financing,risk diversification,and information transmitting.Hence,it connects all the industries in the national economy.With the development of China's capital market,we observe the stock price is highly volatile and risky.The volatility of different stock prices are co-moved,considering the mutual influence among different industries in the stock market.In view of this,this paper not only focuses on the deviation of stock price from its intrinsic value,but also explores the price bubble among different markets.Based on the selected industrial monthly price data from 2004 to 2015 of the Shanghai stock market,this paper tests for the bubble behavior in China's stock market using the GSADF test statistics,date stamping the origination and collapse of the bubble,and studied the timeline of the bubble between different markets.Firstly,this paper reviews the theory of stock market bubble and analyze the limitations of other bubble models.Secondly,this paper summarizes the use of GSADF test systematically and carries out the empirical research.In particular,this paper selects seven representative industries,including agriculture,forestry,animal husbandry and fishery,petrochemical industry,precious metals industry,real estate industry,banking industry,non-bank finance industry and retail trade industry from the primary industry,secondary industry and tertiary Industry,and draws the timeline of the bubble between different industries in the capital markets.The empirical analysis shows that the real estate is co-bubbled with banking and non-bank financial industry.The bubble migrates to the agriculture,forestry,animal husbandry and fishery industry,petroleum and petrochemical industry,trade and retail industry,after the bubble in the banking and non-bank financial industry collapse.Finally,the bubble is found in the precious metals industry.