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When a stock market bubble bursts, it can trigger financial crises that spread to the real economy. New and selectively complicated time-series methods are emerging that allow for better understanding of bubbles. In this chapter, we use the sup augmented Dickey–Fuller test (SADF) test developed by Phillips et al. (2011) and the generalised sup augmented Dickey–Fuller test (GSADF) test developed by Phillips et al. (2013) to identify bubbles in the Shanghai A-share stock market; the tests can also track a bubble’s origination and termination dates. To our knowledge, this is the first time in the literature that the SADF and the GSADF have been applied to this stock market.

Testing Bubbles: Exuberance and collapse in the Shanghai A-share stock market