中国股票市场泡沫的检验与度量

发布时间：2018-03-07 04:25

本文选题：理性泡沫　切入点：内在泡沫　出处：《南京航空航天大学》2014年硕士论文　论文类型：学位论文

【摘要】：从中国股票市场成立至今，，股票指数经常呈现出大幅波动的状态。股票价格脱离实体经济大幅度的波动意味着泡沫的产生。国内外学者对于股票市场中是否存在泡沫、存在多少泡沫、存在什么形式的泡沫，以及中国政府应该如何对股市泡沫进行预防和控制等问题一直争论不休。股票市场作为一国资本市场的有机组成部分，它稳定、健康的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。所以，需要用科学的方法来研究股票市场的泡沫情况，这正是本文的出发点。（1）基于对国内外关于股市泡沫相关文献资料的研究，总结梳理了股市泡沫的理论研究成果和实证分析方法，发现对中国股票市场泡沫的检验与度量问题的研究相对不足。因此，就这个问题展开研究是有实用价值的。（2）总结和比较了泡沫检验的一般方法，选择了单位根检验对理性泡沫的存在性进行检验。并且发现内在泡沫模型可以在理性泡沫存在的基础上，对内在泡沫这一特殊的理性泡沫进行检验。（3）在对内在泡沫模型中的几个假设做了合理性检验后，发现它是一种对现实情况拟合度较好的模型，能解释股价的长期变动，所以选用了该模型进一步检验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。结果发现，中国股票市场在2007年到2012年间长期存在内在性泡沫，并且在一些时间段存在非理性的特性。（4）比较股票市场理性泡沫度量的一般模型发现，剩余收益模型在理论方面具有较强的合理性并在实证方面具有较高的实用性。本文针对中国股票市场的特点对模型进行了改进，并用改进过的模型对中国股票市场2003年到2012年这10年来的泡沫程度进行度量。结果发现2007年到2012年中国股票市场存在正向理性泡沫，并得到了泡沫的确切值。（5）结合股票市场的泡沫情况从内在价值的可度量性、投资者的理性博弈以及股票市场国际化3个角度解释了泡沫的生成原因并提出了泡沫的防控措施。
[Abstract]:Since the establishment of the Chinese stock market, the stock index has often shown a state of large volatility. The sharp fluctuation of stock prices from the real economy means the emergence of bubbles. Scholars at home and abroad have asked whether there is a bubble in the stock market. The number of bubbles, the form of bubbles, and how the Chinese government should prevent and control the stock market bubbles have been debated all the time. As an organic part of a country's capital market, the stock market is stable. The healthy development is related to the stability, health and sustainable development of the whole capital market and even the macro-economy of a country. Therefore, it is necessary to study the bubble situation of the stock market with scientific methods, which is the starting point of this paper. 1) based on the research of domestic and foreign literature on stock market bubble, this paper summarizes the theoretical research results and empirical analysis methods of stock market bubble, and finds that the research on the test and measurement of Chinese stock market bubble is relatively insufficient. It is of practical value to study this problem. 2) summarizing and comparing the general methods of foam test, choosing the unit root test to test the existence of rational foam, and finding that the internal foam model can be based on the existence of rational foam. The inner bubble, a special rational bubble, is tested. After testing the rationality of several assumptions in the internal bubble model, we find that it is a model with good fit for the actual situation and can explain the long-term change of stock price. Therefore, the model is used to further test whether there is an internal bubble in the Chinese stock market and whether there is any irrational component in the bubble. The results show that the Chinese stock market has a long-term intrinsic bubble from 2007 to 2012. And there are irrational properties in some time periods. 4) comparing with the general model of stock market rational bubble measurement, it is found that the residual return model has strong rationality in theory and high practicability in empirical aspect. This paper improves the model according to the characteristics of Chinese stock market. An improved model is used to measure the bubble degree of China's stock market from 2003 to 2012. The results show that there is a positive rational bubble in China's stock market from 2007 to 2012, and the exact value of the bubble is obtained. 5) combined with the bubble situation of stock market, this paper explains the reasons of bubble formation from three angles of intrinsic value measurability, rational game of investors and internationalization of stock market, and puts forward the measures to prevent and control the bubble.
【学位授予单位】：南京航空航天大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51;F224

【参考文献】