中国股票市场泡沫实证研究

发布时间：2018-07-31 11:45

【摘要】：伴随着中国特色社会主义市场经济体制的建立,中国股票市场于20世纪90年代初步建立,但自诞生之日起就因为其独特的社会主义背景而受到国内外经济学界的不断关注和争论。在当时那个特殊的年代里,新兴的中国股票市场和成熟的欧美股票市场相比有着许多的先天不足,但是这些都没有影响中国股票市场的向前发展。众所周知,股票市场作为一国资本市场的有机组成部分,它的稳定健康发展关系到整个资本市场乃至一国宏观经济的能否平稳、健康、可持续发展。然而20多年蓬勃发展的中国股票市场,对于股票市场是否存在泡沫、泡沫是理性还是非理性以及政府是否应该对股市泡沫进行干预的争论从未停止过,对于股市泡沫的看法也是众说纷纭,莫衷一是。因此,对于股市泡沫的研究,无论是对于投资者规避风险、最大限度的获取投资收益来说,还是对于政府控制股市泡沫、防止股市泡沫引发金融危机来说,都具有重要的现实意义。首先阐述了本文的选题背景和研究意义,通过国内外关于股票市场泡沫的研究文献展示了股市泡沫的理论研究和实证分析,总结了最新的理论和实证研究成果,并由此得出了本文的实证研究方法。其次,详细介绍了泡沫、股市泡沫的定义,进一步揭示了一般股市泡沫的形成、膨胀以及破灭过程,列举了通常情况下股市泡沫的基本特征,进而结合股市泡沫的基本特征描述了近百年以来的两次影响颇深的股市泡沫的发展过程。接着,把视角带回中国,从中国股票市场诞生开始,简单介绍了中国股市20多年的发展历程,并举出了几次明显的泡沫时期,然后实证地分析了近几年中国股市出现泡沫的原因。再次,详细介绍了由Froot and Obstfeld提出的内在泡沫模型,并基于2005年到2011年上证红利指数和组成上证红利指数的50只成分股分红数据,使用该模型以及ADF单位根检验对中国股票市场是否存在内在泡沫以及泡沫中是否含有非理性成分进行研究,并得出了较为良好的实证结果。最后,在描述统计和实证分析的基础上,提出了控制中国股市泡沫的对策和建议。
[Abstract]:With the establishment of the socialist market economy system with Chinese characteristics, China's stock market was initially established in the 1990s. But since its birth, it has been paid close attention to and debated by the domestic and foreign economists because of its unique socialist background. In that particular era, the emerging Chinese stock market had many inherent deficiencies compared with the mature European and American stock markets, but none of these affected the development of the Chinese stock market. As we all know, the stock market is an organic part of a country's capital market, its stable and healthy development is related to the whole capital market and even the macroeconomic stability, health and sustainable development of a country. However, after more than 20 years of vigorous development in China's stock market, the debate over whether there is a bubble in the stock market, whether the bubble is rational or irrational, and whether the government should intervene in the stock market bubble has never stopped. For the stock market bubble views are divergent, different. Therefore, for the research of stock market bubble, whether it is for investors to avoid risk, to maximize the return on investment, or for the government to control the stock market bubble and prevent the stock market bubble from triggering the financial crisis, Are of great practical significance. First of all, the background and significance of this paper are expounded. The theoretical research and empirical analysis of stock market bubble are demonstrated through the domestic and foreign literature on stock market bubble, and the latest theoretical and empirical research results are summarized. The empirical research method of this paper is obtained. Secondly, it introduces the definition of bubble and stock market bubble in detail, further reveals the formation, expansion and burst process of general stock market bubble, and lists the basic characteristics of stock market bubble in general. Combined with the basic characteristics of stock market bubble, this paper describes the development process of two deeply influenced stock market bubbles in the last hundred years. Then, from the beginning of the birth of Chinese stock market, the author briefly introduces the development of Chinese stock market for more than 20 years, and points out several obvious bubble periods. Then empirical analysis of the causes of the bubble in China's stock market in recent years. Thirdly, the intrinsic bubble model proposed by Froot and Obstfeld is introduced in detail, and based on the dividend index of Shanghai Stock Exchange from 2005 to 2011 and the 50 component stock dividend data of Shanghai Stock Exchange from 2005 to 2011, The model and ADF unit root test are used to study the existence of internal bubbles and the existence of irrational components in the Chinese stock market, and good empirical results are obtained. Finally, on the basis of describing statistics and empirical analysis, the paper puts forward some countermeasures and suggestions for controlling China's stock market bubble.
【学位授予单位】：山西大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F224

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