标题：Testing for Bubbles in the Chinese Art Market
作者：Li, Xin; Su, Chi-Wei; Qin, Meng; Zhao, Fahai
作者机构：[Li, Xin] Ocean Univ China, Finance, Sch Econ, Qingdao, Peoples R China.; [Su, Chi-Wei] Qingdao Univ, Sch Econ, Qingdao, Peoples R China.; [Qin, M 更多
通讯作者地址：[Zhao, FH]Shandong Univ, Ctr Econ Res, Shanda NanRd 27, Jinan 250100, Shandong, Peoples R China.
关键词：price bubbles; generalized supremum ADF test; Chinese art market
摘要：This article detects the existence of bubbles in the Chinese art market and investigates when the bubbles originate and crash. We utilize the generalized supremum augmented Dickey-Fuller (ADF) test to detect explosive behavior in the Chinese art market. The empirical results indicate that there are two bubbles in the Chinese art market that happened in the periods from 2004 to 2005 and 2010 to 2011. The main reasons are the financialization of artworks, the speculation of investment institution, and the fluctuation of macroeconomics in China. Our findings are in agreement with the bubble model improved by Gurkaynak considering that asset price can be decomposed to bubbles and fundamental parts. Therefore, to favor the Chinese art market price stabilization, the regulators from this market should identify bubbles to notice their evolutions. The authorities should also manage the expectations of the public and reduce speculative behavior.