中国股市泡沫时变性研究——基于GSADF法和PWY替代法

发布时间：2018-11-09 07:38

【摘要】：基于GSADF法和PWY替代法做了两点模型修正,一是设计了简易临界值序列,并模拟证明了在简易临界值下PWY替代法仍能渐进一致地估计泡沫时间点,二是选择了适合我国股市的模型参数,而后实证研究了沪深两市股价泡沫的存在性、发生和破灭的时间点等时变性特征,并对近期泡沫进行了预警。研究表明:涨跌停板制度是控制泡沫风险的有效手段;从涨跌停板制度实施日到2014年7月两市均有过三次泡沫,泡沫风险是影响我国股市的系统因素;两市最新一期泡沫分别于2014年9月初和2014年11月末产生、同时于2015年6月末破灭;从时间轴看,此次泡沫发生与央行的降息政策有关;此次泡沫破灭则反映出我国在泡沫风险监管上的忽视和不足;简易PWY替代法能及时预警泡沫风险,为相关调控政策的制定和实施提供时间上的参考,以预防股市危机。
[Abstract]:Based on GSADF method and PWY substitution method, two models are modified. First, a simple critical value sequence is designed, and the simulation results show that the PWY substitution method can estimate foam time point gradually and consistently under the simple critical value. The second is to choose the model parameters suitable for China's stock market, and then empirically study the existence of stock price bubbles in Shanghai and Shenzhen stock market, the time point of occurrence and burst and other time-varying characteristics, and give a warning to the recent bubble. The research shows that: the price limit system is an effective means to control the bubble risk, there have been three bubbles from the implementation date of the price limit system to July 2014, and the bubble risk is the systematic factor that affects the stock market in our country. The latest bubble occurred in early September 2014 and late November 2014, and burst in late June 2015. On the timeline, the bubble was related to the central bank's policy of cutting interest rates. The bubble burst reflects the neglect and insufficiency of bubble risk supervision in our country, and the simple PWY substitution method can forewarn the bubble risk in time and provide time reference for the formulation and implementation of relevant regulation and control policies in order to prevent the stock market crisis.
【作者单位】：山东大学经济学院;
【基金】：教育部人文社科规划基金项目“基于非线性分析方法的金融市场波动与信用风险控制研究”(13YJAZH091)
【分类号】：F832.51

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