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ID:
171019
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| Summary/Abstract |
During the past decade, China’s defence industry has experienced significant reforms, with increasing numbers of defence companies being listed on the stock market. Meanwhile, China’s stock market has suffered from dramatic fluctuations. This article, therefore, attempts to break new ground on an empirical research agenda to detect bubbles in the defence sector of China’s stock market and how these bubbles can be impacted by the entire stock market and defence industry. To explain this issue, sequential unit root tests are introduced to investigate the existence of bubbles in the defence sector using monthly frequency data from China’s stock market from January 2005 to June 2016. The empirical results show strong evidence of explosive behaviours in the defence sector during the past decade. Moreover, the number of bubbles has changed greatly when accounting for the entire stock market. The empirical results indicate that bubbles in the middle of 2006 and at the end of 2014 were driven by the defence industry because of the sharp increase of military expenditure and the release of innovative defence reforms. Finally, we suggest that the government could control the annual budget increase at a steady pace and implement defence reforms by carrying out experimental units gradually.
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| 2 |
ID:
160002
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| Summary/Abstract |
The present study investigates the influence of international oil prices on China's stock market returns across 29 different industries. The paper attempts to account for any structural breaks and nonlinearity in this relationship. The results reveal that the effect of changes in the international price of oil on stock returns differs substantially across industries. The stock returns of the coal, chemical, mining and oil industries are found to be positively affected by crude oil price movements. Conversely, electronics, food manufacturing, general equipment, pharmaceuticals, retail, rubber and vehicle industries are found to be negatively affected by movements in the price of crude oil. The results of the estimations also suggest that the majority of Chinese industries have been significantly affected by oil prices since 2004. The influence of international oil prices on Chinese stocks also has a stronger effect in the presence of high volatility but the effect varies across industries.
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