基于非理性的股票市场负泡沫问题研究

发布时间：2018-08-16 11:02

【摘要】：股票市场泡沫问题的研究是当代经济学的前沿领域之一。由于泡沫是产生经济危机的重要根源，因此分析股票市场泡沫问题对于防范金融危机，维护金融稳定具有重要意义。在股票市场泡沫问题的研究中，学者们普遍分析了资产价格相对于基本价值的向上偏离。然而，在经济的实际运行中，资产价格相对于基本价值的向下偏离，即，价值低估，却很少被关注。而事实上，股票市场的价值低估会造成投资者信心缺失从而减少投资导致恶性循环，最终使得股票市场的财富效应及资源配置功能丧失。这种循环相对而言较为隐蔽，但是也具有自我强化的特点。2000年，罗伯特席勒在其《非理性繁荣》一书中将泡沫的反向定义为负泡沫，是指市场价格低于其基本价值的部分。关于负泡沫的研究至今鲜有人问津，因此，笔者在本文中将股票市场泡沫划分为正泡沫与负泡沫，针对负泡沫问题进行研究。中国股票市场至今已发展20余年，期间伴随着巨幅的波动，尤其是2007年以来的暴涨及其随后的快速下跌。我国学术界有关股票市场正泡沫的研究已经取得一定进展，但是在股市持续低迷的今天，负泡沫的问题却没有得到相应的关注，笔者认为，这是一个重要的缺失。因此，本文结合我国股票市场试图分析以下几个问题：1.什么是股票市场负泡沫。2.我国股票市场是否存在负泡沫。3.哪些原因造成了股市负泡沫。4.针对我国市场又可以采取哪些手段进行负泡沫的治理。可以说，分析股票市场负泡沫问题对于发展和健全我国股票市场机制具有重要意义。由于在有效市场假说下，只有理性泡沫是可以存在的，传统的金融理论无法对持续的股市泡沫进行解释，而这种短期的理性泡沫并不符合市场上持续低迷的负泡沫存在现状。所以，本文基于非理性的视角对整个股票市场负泡沫问题进行分析。文章通过总结前人研究成果，从非理性的角度重新定义了股票市场正泡沫，并且引申出股票市场负泡沫的含义。在负泡沫度量方面，采用统计指标体系分析与实证检验的联合方式对我国股票市场负泡沫现状进行了分析，并且得出我国股市存在价值低估的问题这一结论。股票市场负泡沫的成因是本文的核心部分。首先，从非理性的视角入手，分析了认知偏差的心理因素、羊群行为及噪音交易者与正反馈行为等内部成因。其次，结合我国股票市场从制度、政策、媒体层面进行外部原因的探究，并且发现中国上市公司分红制度不规范、股票市场不透明、紧缩的货币政策及股市不适当的扩容都是造成股票市场负泡沫的重要原因。最后，针对成因笔者提出了几点治理负泡沫的建议，包括培养价值投资者、完善股市制度、强制分红、保持股票市场的供需均衡等。
[Abstract]:The research of stock market bubble is one of the frontier fields of contemporary economics. Because bubble is an important source of economic crisis, it is of great significance to analyze the bubble of stock market to prevent financial crisis and maintain financial stability. In the research of stock market bubble, scholars generally analyze the upward deviation of asset price relative to basic value. However, in the actual operation of the economy, the downward deviation of asset prices relative to the basic value, that is, the undervaluation, is seldom paid attention to. In fact, the undervaluation of the stock market will lead to the loss of investor confidence, which will reduce the vicious circle of investment, and ultimately make the wealth effect and resource allocation function of the stock market lose. This cycle is relatively subtle, but also self-reinforcing. In 2000, Robert Schiller defined the reverse of a bubble as a negative bubble in his book Irrational Prosperity, which refers to the portion of the market price below its basic value. So far, the research on negative bubble is seldom studied. Therefore, the author divides the stock market bubble into positive bubble and negative bubble in this paper, and studies the problem of negative bubble. China's stock market has been developing for more than 20 years, accompanied by huge volatility, especially the surge since 2007 and its subsequent rapid decline. Some progress has been made in the research of the positive bubble in the stock market in our country, but the problem of negative bubble has not been paid attention to in today's stock market. The author thinks that this is an important deficiency. Therefore, this paper tries to analyze the following several questions: 1. 1. What is a negative stock market bubble. 2. Is there a negative bubble in China's stock market? What caused the negative bubble. 4. 4. In view of China's market and what measures can be taken to negative bubble governance. It can be said that the analysis of negative bubble in stock market is of great significance to the development and improvement of stock market mechanism in China. Under the efficient market hypothesis, only rational bubbles can exist. The traditional financial theory can not explain the sustained stock market bubbles, but this short-term rational bubble does not accord with the existence of negative bubbles in the market. Therefore, this paper analyzes the negative bubble problem of the whole stock market from the perspective of irrationality. By summarizing the previous research results, this paper redefines the positive bubble of stock market from the irrational angle, and extends the meaning of negative bubble in stock market. In the aspect of measurement of negative bubble, this paper analyzes the current situation of negative bubble in stock market of our country by means of the combination of statistical index system analysis and empirical test, and draws the conclusion that the value of stock market is undervalued in our country. The cause of negative bubble in stock market is the core part of this paper. Firstly, this paper analyzes the psychological factors of cognitive bias, herd behavior, noise traders and positive feedback behavior from the perspective of irrationality. Secondly, combining the stock market of our country from the system, the policy, the media level carries on the external reason research, and discovers that the Chinese listed company dividend system is not standard, the stock market is not transparent, Tight monetary policy and inappropriate stock market expansion are important reasons for the negative bubble in the stock market. Finally, the author puts forward some suggestions on how to control the negative bubble, including training value investors, perfecting stock market system, enforcing dividends, and keeping the balance between supply and demand in stock market.
【学位授予单位】：吉林大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F224

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