Identification of Chinese Stock market bubbles: The three-regime-switching modeling approach.

In this paper we employ a three-regime-switching model, to capture the nonlinear characteristics of the Chinese stock market bubble dynamics, and to test the explanatory power of heterogeneous beliefs for the regime-switching. We find that the bubbles in SHSE can be distinguished into dormant, explosive and collapsing three regimes, and the abnormal trade volume and the excessive return have the significant explanatory power of the regime switching. [ABSTRACT FROM AUTHOR]