中国创业板股票市场泡沫检验研究
发布时间：2019-04-21 13:06
【摘要】：2009年10月30日,我国创业板股票市场在深圳证券交易所正式成立,创业板股票市场主要是为了应对中小创新型高科技企业的融资需求而设立的新型股票市场,是我国多层次资本市场的重要组成部分。创业板市场自成立以来,就伴随着很多问题,高发行价、高市盈率以及高募集资金现象频繁出现。整个股票市场的运行状态非常不稳定,投资者的短期套利行为以及盲目跟风现象较为常见。关于创业板股市是否存在泡沫的问题也一直在广大投资者中间和学术界饱受争论,本文基于这一点出发,主要应用计量经济学方法定量研究以下问题:在我国创业板股票市场建立6年多的背景下,整体市场是否存在泡沫、泡沫是否容易形成、泡沫在何时产生与破灭以及怎样能够避免股市泡沫进一步放大等现实问题。本文首先从股票市场行情指标涨跌幅度、市盈率、市净率和换手率四个角度,通过与美国成熟的创业板市场纳斯达克进行对比,对我国创业板市场的泡沫状态做了一个初步的判断与分析,然后基于创业板综合指数的波动来研究创业板股票的泡沫。本文主要利用R统计软件进行编程处理数据,并使用了传统的泡沫检验方法游程检验、单位根协整检验以及前沿的GSADF泡沫检验法,从不同角度来检测与估计创业板股市的泡沫的存在性,泡沫的易生成度,以及实现对创业板股票市场泡沫的实时检验。同时,根据实证检验结果并结合当时的宏观经济与政策背景,简要分析了一下泡沫的产生与破灭原因。文章最后分别从上市公司角度、投资者角度以及监管与市场角度,提出预防我国创业板股市泡沫的政策与建议。本文的结论为,游程检验结果表明我国创业板股票数据具有明显的随趋势变化的特征,容易出现持续的同方向变化,即我国创业板市场的股票价格波动易于形成趋势且容易产生泡沫;单位根协整关系检验结果表明,创业板综合指数与代表基本面价值走势的一些宏观经济变量之间不存在长期均衡的稳定关系,即股票价格与其基本面价值之间并未保持长期稳定的均衡关系,创业板股票市场上可能存在泡沫;根据Phillips等最新提出的GSADF泡沫检验法及其框架下的PSY泡沫时点检验方法对我国创业板综合指数2010年7月至2016年3月期间的周收盘指数进行检测,总共检测出三个泡沫区间,分别是2014年1月至2014年2月、2015年3月至2015年7月、2015年10月到2016年1月。结合我国创业板股票市场的实际走势以及相应的宏观背景分析,PSY泡沫时点检验法及修正的PSY泡沫时点检验法对我国创业板市场股票泡沫具有良好的检验效力,能够实现对我国创业板股票市场的实时检验,这对构建我国创业板股市泡沫预警机制具有重大的意义。
[Abstract]:On October 30, 2009, China's gem stock market was formally established in Shenzhen Stock Exchange. The gem stock market is a new stock market set up to meet the financing needs of small and medium-sized innovative high-tech enterprises. It is an important part of China's multi-level capital market. Since its establishment, gem has been accompanied by many problems, such as high issue price, high price-to-earnings ratio and high fund raising. The whole stock market is very unstable, investors' short-term arbitrage behavior and blind follow-up phenomenon are more common. The issue of whether there is a bubble in the gem stock market has also been debated among investors and academia. Based on this point, this paper starts from this point of view. Econometrics is mainly used to quantitatively study the following problems: under the background of the establishment of gem stock market in China for more than six years, whether there is a bubble in the overall market, and whether the bubble is easy to form, When and when bubbles burst and how to avoid further magnification of the stock market bubble and other practical questions. First of all, this paper compares with NASDAQ, a mature American gem market, from the four angles of stock market index, price-to-earnings ratio, price-to-book ratio and turnover ratio, and then compares it with NASDAQ, a mature gem market in the United States. This paper makes a preliminary judgment and analysis on the bubble state of gem market in China, and then studies the bubble of gem stock based on the fluctuation of gem composite index. This paper mainly uses R statistics software to program and process data, and uses the traditional foam inspection method run-distance test, unit root co-integration test and frontier GSADF foam test method. From different angles to detect and estimate the existence of bubbles in gem stock market, the easy-to-generate degree of bubbles, and the realization of real-time testing of the bubble in gem stock market. At the same time, according to the empirical test results and combined with the macroeconomic and policy background at that time, this paper briefly analyzes the causes of the emergence and bursting of the bubble. Finally, from the angle of listed companies, investors and supervision and market, the paper puts forward some policies and suggestions to prevent the bubble of gem stock market in China. The conclusion of this paper is that the run-distance test results show that the gem stock data in China has obvious characteristics of changing with the trend, and it is easy to keep changing in the same direction. That is, the stock price fluctuation in the gem market of our country is easy to form the trend and easy to produce the bubble; The results of the unit root co-integration relationship test show that there is no long-term equilibrium between the gem composite index and some macroeconomic variables which represent the trend of fundamental value. That is, there is not a long-term stable equilibrium relationship between the stock price and its fundamental value, and there may be bubbles in the gem stock market. According to the latest GSADF foam test method proposed by Phillips and its PSY foam time point test method under the framework, the weekly closing index of China's gem composite index from July 2010 to March 2016 was tested, and a total of three foam intervals were detected. From January 2014 to February 2014, March 2015 to July 2015, October 2015 to January 2016. Combined with the actual trend of gem stock market in China and the corresponding macro-background analysis, the PSY foam time point test and the modified PSY foam time point test have a good testing effect on the gem stock bubble in China. It is of great significance to realize the real-time testing of gem stock market in China, which is of great significance to the construction of the early warning mechanism of gem stock market bubble in China.
【学位授予单位】：中国青年政治学院
【学位级别】：硕士
【学位授予年份】：2016
【分类号】：F832.51
本文编号：2462230
[Abstract]:On October 30, 2009, China's gem stock market was formally established in Shenzhen Stock Exchange. The gem stock market is a new stock market set up to meet the financing needs of small and medium-sized innovative high-tech enterprises. It is an important part of China's multi-level capital market. Since its establishment, gem has been accompanied by many problems, such as high issue price, high price-to-earnings ratio and high fund raising. The whole stock market is very unstable, investors' short-term arbitrage behavior and blind follow-up phenomenon are more common. The issue of whether there is a bubble in the gem stock market has also been debated among investors and academia. Based on this point, this paper starts from this point of view. Econometrics is mainly used to quantitatively study the following problems: under the background of the establishment of gem stock market in China for more than six years, whether there is a bubble in the overall market, and whether the bubble is easy to form, When and when bubbles burst and how to avoid further magnification of the stock market bubble and other practical questions. First of all, this paper compares with NASDAQ, a mature American gem market, from the four angles of stock market index, price-to-earnings ratio, price-to-book ratio and turnover ratio, and then compares it with NASDAQ, a mature gem market in the United States. This paper makes a preliminary judgment and analysis on the bubble state of gem market in China, and then studies the bubble of gem stock based on the fluctuation of gem composite index. This paper mainly uses R statistics software to program and process data, and uses the traditional foam inspection method run-distance test, unit root co-integration test and frontier GSADF foam test method. From different angles to detect and estimate the existence of bubbles in gem stock market, the easy-to-generate degree of bubbles, and the realization of real-time testing of the bubble in gem stock market. At the same time, according to the empirical test results and combined with the macroeconomic and policy background at that time, this paper briefly analyzes the causes of the emergence and bursting of the bubble. Finally, from the angle of listed companies, investors and supervision and market, the paper puts forward some policies and suggestions to prevent the bubble of gem stock market in China. The conclusion of this paper is that the run-distance test results show that the gem stock data in China has obvious characteristics of changing with the trend, and it is easy to keep changing in the same direction. That is, the stock price fluctuation in the gem market of our country is easy to form the trend and easy to produce the bubble; The results of the unit root co-integration relationship test show that there is no long-term equilibrium between the gem composite index and some macroeconomic variables which represent the trend of fundamental value. That is, there is not a long-term stable equilibrium relationship between the stock price and its fundamental value, and there may be bubbles in the gem stock market. According to the latest GSADF foam test method proposed by Phillips and its PSY foam time point test method under the framework, the weekly closing index of China's gem composite index from July 2010 to March 2016 was tested, and a total of three foam intervals were detected. From January 2014 to February 2014, March 2015 to July 2015, October 2015 to January 2016. Combined with the actual trend of gem stock market in China and the corresponding macro-background analysis, the PSY foam time point test and the modified PSY foam time point test have a good testing effect on the gem stock bubble in China. It is of great significance to realize the real-time testing of gem stock market in China, which is of great significance to the construction of the early warning mechanism of gem stock market bubble in China.
【学位授予单位】：中国青年政治学院
【学位级别】：硕士
【学位授予年份】：2016
【分类号】：F832.51
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