中国创业板市场泡沫识别、形成机理及实证研究

发布时间：2018-04-16 07:38

本文选题：泡沫 + 正反馈交易　；参考：《复旦大学》2012年硕士论文

【摘要】：创业板自成立以来,就伴随着较多的问题,例如“三高”现象,包括高发行价,高市盈率和高募集资金的状况。整个市场的运行也一直处于极度亢奋之中,投资者的交易行为也趋于非理性。关于创业板是否存在泡沫的问题一直在学术界和广大投资者中间饱受争论,但相关结论大多基于定性的分析。2010年6月,创业板指数的推出为我们运用定量分析方法研究判断整个市场的运行提供了有效的数据支持。在本文的研究中,尝试解决的问题主要有两个,一是识别判断我国创业板市场在过去的时间内是否存在泡沫,二是从某一具体角度出发,探究创业板泡沫的部分形成机制,挖掘创业板市场泡沫背后的推动因素。本文在回顾前人研究的基础之上,通过将深圳创业板市场与国际上多个成熟的创业板市场同时期运行状况进行比较以及运用游程检验、持续期依赖检验等方法对创业板市场泡沫进行了识别,同时通过对混合理性正反馈模型的借鉴探讨,确定了正反馈交易策略在泡沫形成过程中的重要作用,并通过实证检验发现了创业板市场中的存在大量的正反馈交易行为。最后,笔者基于以上研究的结论为我国创业板市场的健康良性的发展提出一些合理的建议。
[Abstract]:Since the establishment of the gem, there have been many problems, such as the "three high" phenomenon, including high issue price, high price-earnings ratio and high raising of funds.The operation of the whole market has been in extreme excitement, investors trading behavior tends to irrational.The issue of whether there is a bubble in the gem has long been debated among academics and investors at large, but most of the relevant conclusions are based on qualitative analysis. In June 2010,The launch of gem index provides effective data support for us to use quantitative analysis method to study and judge the operation of the whole market.In the research of this paper, there are two main problems to be solved, one is to identify and judge whether there is a bubble in the gem market in the past time, the other is to explore the formation mechanism of the gem bubble from a specific angle.Mining gem market bubble behind the driving factor.On the basis of reviewing the previous studies, this paper compares the operation status of Shenzhen gem market with that of many mature gem markets in the world and makes use of tour test.The duration dependence test and other methods are used to identify the bubble in the gem market. At the same time, through the study of mixed rational positive feedback model, the important role of positive feedback trading strategy in the process of bubble formation is determined.And through the empirical test found that there are a large number of positive feedback trading behavior in the gem market.Finally, based on the above conclusions, the author puts forward some reasonable suggestions for the healthy and benign development of gem in China.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F224

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