SZSCShenzhen Stock Index Composite (China)
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Table 3 shows that the prediction result of the 2005-2007 SZSC bubble by using the new JLS model is unsatisfactory; however, it is slightly better than the estimation result of the original JLS model.
Among the other parameter values, note that only the power law exponents m of the indices of 05/07/11-08/10/17 SSEC and 05/11/15-07/11/28 SZSC are significantly larger than 1, while the others are between 0 and 1.
In addition, according to the significant degree of corresponding coefficients of the deposit reserve rate and volatility of NASDAQ, we find that although the influence of these two factors on the evolution of the 2008-2009 SSEC and SZSC bubbles is not significant, the fitting effect of the whole model is improved after joining these two variables.
Further, we analyzed in detail six financial bubbles in Chinese stock markets by calibrating the JLS-factor model (see (10)) to two important Chinese stock indices (SSEC and SZSC) from July 2005 to July 2015.
However, it is interesting to find that there is no obvious reason to believe that there is any critical difference between SSEC and SZSC, while the crucial fitting parameters are very different during the bubble time 2005-2008.
Hence, although there are few differences between the 2005-2008 SSEC bubble and the 2005-2008 SZSC bubble, as long as the trigger factors (exogenous or endogenous) show small differences, the burst time of the bubble will be strikingly different, as will the results of the other JLS model parameters.
Caption: Figure 1: Daily trajectory of the SSEC and SZSC from 2005/07/11 to 2015/07/29 by using the JLS-factor model presented in (10) with y(t) = p(t).