股市非理性泡沫形成机理与识别研究

发布时间：2018-03-25 20:09

本文选题：非理性泡沫　切入点：形成机理　出处：《成都理工大学》2016年硕士论文

【摘要】：在我国经济总量跃居世界第二大国的背景下,我国需要建设一个强大的资本市场。近年来,国家明确提出要做大做强股市,股市的战略地位提到了前所未有的高度。然而,我国股市由于制度和环境等自身原因,使得股市的非理性色彩严重,常常产生比较严重的非理性泡沫。急涨急跌的现实情况不仅不利于股市的长期健康发展,而且还极大地威胁到了金融稳定。非理性泡沫具体是如何形成和破灭的,如何构建一个行之有效的方法对非理性泡沫进行识别,从而制定相应的有效措施,成为市场各参与主体十分关注的重要问题。传统的金融理论以“理性人”和有效市场为理论假设基础,忽视了对投资者实际决策行为,导致时常无法解释现实人的经济行为。近年来,金融学理论在研究股市泡沫时倾向于:从只注重价格行为,到逐步重视交易量,并研究它所包含心理行为的内容和信息,并且将成交量和价格作为一个整体对资本市场进行研究的趋势和特点。基于以上认识,论文以行为金融学为理论基础,从投资者交易的角度深入分析非理性泡沫形成的机理,并在此基础上对我国股市的特殊情况和环境进行归纳分析。在以上理论和现实框架下,采用TAR模型对我国上证综合指数2008年10月28日至2016年3月18日的沪市非理性泡沫情况进行了存在性识别。选取了上证综指振幅、换手率、成交额变化率三个指标进行了实证研究,结果表明:在该样本区间内,我国股市非理性泡沫具有普遍存在性,但总体上持续时间较短。在2013年初和2015年中集中出现过两次明显的泡沫,泡沫的严重程度比较大。进一步,对非理性泡沫程度最大的2015年作了深度研究,发现同时期的中小板和创业板也存在泡沫,沪市的泡沫程度最小,创业板的泡沫程度最大。同时还发现2015年出现的股市泡沫,较早出现在了创业板,随后集中出现在了中小板。在识别出泡沫存在的基础上,论文接着采用VAR模型对2014-2016年的非理性泡沫的主导因素进行了研究,将该时间样本分为“牛市”和“熊市”两个阶段分别进行识别。在选择指标方面,顺应现阶段的股市交易制度和互联网环境,选取了“股票”关键字下的百度指数、融资融券额、涨跌停数量三个指标分别对上涨和下跌的因素进行研究。研究结果表明:2015年的股市泡沫是由杠杆交易主导形成的,对整个上涨贡献度达到了37.35%;然而在泡沫的破灭时,占据主导因素的却是投资者的悲观情绪及过度反应,对整个下跌贡献度达到了40.33%。很明显,我国股市的非理性泡沫主导因素存在非对称性。论文所作研究既建立在行为金融学理论基础之上,又充分尊重我国股市的特殊制度和非理性因素较重等客观事实。在对非理性泡沫形成机理的研究时,从投资者的实际决策心理出发。采用的TAR和VAR计量模型在对我国股市非理性泡沫的识别问题上,不仅对泡沫的存在性进行了识别,对非理性泡沫的主导性因素进行了量化分析。论文在股市泡沫的识别方法上避免了因估值问题带来的结果偏差,从量价交易及量价转化过程角度进行了识别,该方法减少了系统性偏差,具有较高的可信度。有利于准确识别股市非理性泡沫、控制金融风险、维护金融秩序、防范金融危机、促进经济稳定健康发展,为投资者提供科学的投资决策,为监管层提供合理的政策制定依据,这些都具有重要的现实意义。
[Abstract]:In China's economic aggregate ranked second in the world's big background, our country needs to build a strong capital market. In recent years, the state clearly to bigger and stronger strategic position of the stock market, stock market mentioned hitherto unknown height. However, due to China's stock market system and the environment for their own reasons, the non rational color stock market the serious, often cause serious irrational bubble. The long-term healthy development of the reality of soaring plunge is not conducive to the stock market, but also greatly threaten financial stability. The irrational bubble formation and how burst, how to build an effective method to identify the non rational bubble, thus making some effective measures, an important problem has become the main market players of great concern. The financial theory to the "rational people" and the efficient market hypothesis is the foundation of traditional, ignore The investor's actual decision behavior, often cannot explain the realistic economic behavior of people. In recent years, the financial theory in the research of stock market bubble from tend to focus only on price behavior, trading volume gradually paid attention to, and the research content and the information it contains psychological behavior, and the volume and price as the trend and characteristics of a the research on the capital market. Based on the above understanding, the paper on the behavioral finance theory, in-depth analysis of the mechanism of irrational bubble formation from investors perspective, analyzed and on the basis of China's stock market situation and environment. In the above theoretical and practical framework, using the TAR model non rational bubble on China's Shanghai Composite Index from October 28, 2008 to March 18, 2016 in Shanghai were selected. The existence of the recognition of Shanghai amplitude, turnover, turnover The amount of the change rate of the three indicators of the empirical research, the results showed that: in the sample period, China's stock market irrational bubble is an universal problem, but generally shorter duration. At the beginning of 2013 and 2015 in concentration appeared two obvious bubble, the severity of the bubble is relatively large. Further, the the greatest degree of irrational bubbles in 2015 made a depth study found that small and medium plate during the same period and the gem bubble, the minimum bubble level Shanghai stock market, the bubble degree of gem. It is also found that in 2015 the stock market bubble, earlier in the gem, then concentrated in the small board in recognition. Based on the bubble, then was studied using VAR model leading factors on non rational bubble 2014-2016 years time, the sample is divided into "bull" and "bear" two stages respectively. Identification. In the choice of indicators, conform to the current stock market trading system and Internet environment, select the "share" the Baidu keyword index, margin amount, price limit number three respectively to study the factors of rising and falling. The results show that in 2015 the stock market bubble is formed by leverage led on the whole, rising contribution reached 37.35%; however, the bubble burst, pessimism and overreaction is the dominant factors of investors, the contribution to 40.33%. decreased obviously, irrational bubbles in China's stock market. The main factor is asymmetric. The paper research is based on behavioral finance the theory basis, special system and non rational factors and full respect for China's stock market is the objective fact that. In the study of the formation mechanism of irrational bubbles, from investors The actual decision of psychological. Recognition problems using TAR and VAR model in the stock market of our country of irrational bubbles, not only for the existence of bubbles were identified, carried out a quantitative analysis of dominant factors on non rational bubbles. This avoids the problems brought by the valuation results in the deviation of stock market bubble recognition method on the recognition from the amount of price and trading volume and price conversion process point of view, this method reduces the systematic error has a higher reliability. To accurately identify the stock market irrational bubble, financial risk control, to maintain the financial order and prevent financial crisis, to promote stable and healthy development of the economy, provide the scientific investment decision for investors and the basis for regulators to provide reasonable policy, these have important practical significance.

【学位授予单位】：成都理工大学
【学位级别】：硕士
【学位授予年份】：2016
【分类号】：F832.51

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