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New JLS-Factor Model versus the Standard JLS Model: A Case Study on Chinese Stock Bubbles
Joint Authors
Source
Discrete Dynamics in Nature and Society
Issue
Vol. 2017, Issue 2017 (31 Dec. 2017), pp.1-15, 15 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2017-01-18
Country of Publication
Egypt
No. of Pages
15
Main Subjects
Abstract EN
In this paper, we extend the Johansen-Ledoit-Sornette (JLS) model by introducing fundamental economic factors in China (including the interest rate and deposit reserve rate) and the historical volatilities of targeted and US equity indices into the original model, which is a flexible tool to detect bubbles and predict regime changes in financial markets.
We then derive a general method to incorporate these selected factors in addition to the log-periodic power law signature of herding and compare the prediction accuracy of the critical time between the original and the new JLS models (termed the JLS-factor model) by applying these two models to fit two well-known Chinese stock indices in three bubble periods.
The results show that the JLS-factor model with Chinese characteristics successfully depicts the evolutions of bubbles and “antibubbles” and constructs efficient end-of-bubble signals for all bubbles in Chinese stock markets.
In addition, the results of standard statistical tests demonstrate the excellent explanatory power of these additive factors and confirm that the new JLS model provides useful improvements over the standard JLS model.
American Psychological Association (APA)
Hu, Zongyi& Li, Chao. 2017. New JLS-Factor Model versus the Standard JLS Model: A Case Study on Chinese Stock Bubbles. Discrete Dynamics in Nature and Society،Vol. 2017, no. 2017, pp.1-15.
https://search.emarefa.net/detail/BIM-1151762
Modern Language Association (MLA)
Hu, Zongyi& Li, Chao. New JLS-Factor Model versus the Standard JLS Model: A Case Study on Chinese Stock Bubbles. Discrete Dynamics in Nature and Society No. 2017 (2017), pp.1-15.
https://search.emarefa.net/detail/BIM-1151762
American Medical Association (AMA)
Hu, Zongyi& Li, Chao. New JLS-Factor Model versus the Standard JLS Model: A Case Study on Chinese Stock Bubbles. Discrete Dynamics in Nature and Society. 2017. Vol. 2017, no. 2017, pp.1-15.
https://search.emarefa.net/detail/BIM-1151762
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1151762