Replication Folder for "Sectoral Bubbles Formation and Contagion Dynamics in China’s Stock Market"

Description

This replication package supports the paper “Sectoral Bubbles Formation and Contagion Dynamics in China’s Stock Market.” The study examines whether stock market bubbles in China originate from sector-specific dynamics, how investor behavior, industry fundamentals, and macroeconomic conditions are associated with bubble formation, and whether bubbles propagate across sectors through time-varying causal linkages. The package includes weekly CSI 300 and sector index data for bubble detection and time-varying Granger causality analysis, as well as sector-level data for descriptive statistics, cloglog regressions, average marginal effects, and SHAP-based variable-importance analysis. The data are constructed from CSMAR-based stock-market and sector-level sources; the underlying raw CSMAR data are not redistributed due to database licensing restrictions. The files can be used to reproduce the paper’s main tables, figures, and robustness checks.

Institutions

• Anhui University of Finance and Economics

  Anhui, Bengbu

Categories

Licence