Measurement of Bubble Rates in China's A-Share Market and Discussion on Market Efficiency

Measurement of Bubble Rates in China's A-Share Market and Discussion on Market Efficiency | Research Square window.SnipcartSettings = { analytics: { enabled: false } }; (function() { var accessVector = localStorage.getItem('access_vector') || ''; window.dataLayer = window.dataLayer || []; if (accessVector) { window.dataLayer.push({ user: { profile: { profileInfo: { snid: accessVector } } } }); } })(); (function(w,d,s,l,i){w[l]=w[l]||[];w[l].push({'gtm.start':new Date().getTime(),event:'gtm.js'});var f=d.getElementsByTagName(s)[0],j=d.createElement(s),dl=l!='dataLayer'?'&l='+l:'';j.async=true;j.src='https://www.googletagmanager.com/gtm.js?id='+i+dl;f.parentNode.insertBefore(j,f);})(window,document,'script','dataLayer','GTM-K279D39R'); Browse Preprints In Review Journals COVID-19 Preprints AJE Video Bytes Research Tools Research Promotion AJE Professional Editing AJE Rubriq About Preprint Platform In Review Editorial Policies Our Team Advisory Board Help Center Sign In Submit a Preprint Cite Share Download PDF Research Article Measurement of Bubble Rates in China's A-Share Market and Discussion on Market Efficiency Zhang yu This is a preprint; it has not been peer reviewed by a journal. https://doi.org/ 10.21203/rs.3.rs-4887298/v1 This work is licensed under a CC BY 4.0 License Status: Posted Version 1 posted You are reading this latest preprint version Abstract Market efficiency and stock market bubble are very much concerned by the academic community. Market efficiency and stock market bubble are two sides of one body, which are both interrelated and opposite to each other. We summarize the development of Efficient Market Hypothesis (EMF), and based on the Residual Income Model (RIM) method, taking the A-share market as an example, analyzes and measures the intrinsic value and stock bubble rate of China's A-share market. The median historical bubble rate of A-shares exceeded 20%, and A-shares were overvalued for most of the statistical period from 2001 to 2019. In the past 30 years of development, China's stock market has not yet built an efficient market mechanism for correcting errors, among which there are human intervention factors such as "policy market", which makes the market price deviate from the intrinsic value of enterprises for a long time. From the perspective of investment, the historical bubble rate of A-shares is significantly negatively correlated with the return on investment (CAGR) in the next five years. The present study examines the measurement of A-share bubble space and market efficiency, providing valuable insights for the development of a more efficient A-share market. Finance Efficient Market Hypothesis (EMH) A-Share Bubble Measurement Residual Income Valuation Model Figures Figure 1 Figure 2 Figure 3 Figure 4 Figure 5 Figure 6 Full Text Additional Declarations The authors declare potential competing interests as follows: On behalf of all authors, the corresponding author states that there is no conflict of interest. Tables 1-3 are available in the supplementary files section. Supplementary Files table1.doc Cite Share Download PDF Status: Posted Version 1 posted You are reading this latest preprint version Research Square lets you share your work early, gain feedback from the community, and start making changes to your manuscript prior to peer review in a journal. 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Also discoverable on Platform About Our Team In Review Editorial Policies Advisory Board Help Center Resources Author Services Accessibility API Access RSS feed Manage Cookie Preferences © Research Square 2026 | ISSN 2693-5015 (online) Privacy Policy Terms of Service Do Not Sell My Personal Information {"props":{"pageProps":{"initialData":{"identity":"rs-4887298","acceptedTermsAndConditions":true,"allowDirectSubmit":true,"archivedVersions":[],"articleType":"Research Article","associatedPublications":[],"authors":[{"id":338348762,"identity":"d5a1cbea-95a2-41dd-a61c-92e3249f1cfc","order_by":0,"name":"Zhang 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