2003/12/05 by Wei‐Xing Zhou, W. -X. Zhou, D. Sornette +1
Economics, Econometrics and Finance · Physics and Astronomy · #Business #China #Chinese market #Complex Systems and Time Series Analysis #Economics #Equity (law) #Finance #Financial Markets and Investment Strategies #Financial Risk and Volatility Modeling #Financial economics #Geography #Herding #Monetary economics #Political science #Predictability #Real estate #Stock (firearms) #Stock market #Stock market bubble #cond-mat.stat-mech #q-fin.ST
paper · pdf · doi:10.1016/j.physa.2004.01.051
published as Physica A 337 (2004) 243-268 · 29 Elsevier Latex pages including 12 eps figures
arxiv created 2003/12/05 · openalex publication_date 2004/02/21 · arxiv updated 2009/12/01 · openalex created_date 2025/10/10 · openalex updated_date 2026/08/05
We document a well-developed log-periodic power-law antibubble in China's stock market, which started in August 2001. We argue that the current stock market antibubble is sustained by a contemporary active unsustainable real-estate bubble in China. The characteristic parameters of the antibubble have exhibited remarkable stability over one year (Oct. 2002-Oct. 2003). Many tests, including predictability over different horizons and time periods, confirm the high significance of the antibubble detection. We predict that the Chinese stock market will stop its negative trend around the end of 2003 and start going up, appreciating by at least 25% in the following 6 months. Notwithstanding the immature nature of the Chinese equity market and the strong influence of government policy, we have found maybe even stronger imprints of herding than in other mature markets. This is maybe due indeed to the immaturity of the Chinese market which seems to attract short-term investors more interested in fast gains than in long-term investments, thus promoting speculative herding.