本文選題：股市泡沫　切入點(diǎn)：理論收益率　出處：《財(cái)經(jīng)論叢》2010年03期 　論文類型：期刊論文

【摘要】：本文根據(jù)我國(guó)股市非市場(chǎng)化特點(diǎn)與股權(quán)分置改革影響等問題,在股票市場(chǎng)價(jià)格嚴(yán)重失真情況下,運(yùn)用局部多項(xiàng)式核估計(jì)方法,擬合了股市理論收益率指標(biāo),通過對(duì)比股市實(shí)際收益率指標(biāo)顯著性偏離關(guān)系,提出了我國(guó)股市的泡沫理論與計(jì)量方法。實(shí)證顯示:局部多項(xiàng)式核估計(jì)能很好地估計(jì)股市理論收益率指標(biāo),準(zhǔn)確計(jì)量我國(guó)股市泡沫動(dòng)態(tài)變化情況。
[Abstract]:According to the characteristics of non-marketization of stock market in China and the influence of the reform of split share structure, this paper applies the method of local polynomial kernel estimation to fit the theoretical return index of stock market under the condition of serious distortion of stock market price. By comparing the significant deviation relationship of the real return index of stock market, this paper puts forward the bubble theory and measurement method of stock market in China. The empirical results show that the local polynomial kernel estimation can estimate the theoretical return index of stock market very well. Accurate measurement of China's stock market bubble dynamic changes.
【作者單位】： 浙江財(cái)經(jīng)學(xué)院數(shù)學(xué)與統(tǒng)計(jì)學(xué)院;浙江財(cái)經(jīng)學(xué)院金融學(xué)院;
【基金】：教育部人文社會(huì)科學(xué)研究規(guī)劃基金資助項(xiàng)目(08JA790118)
【分類號(hào)】：F832.51;F224

【參考文獻(xiàn)】

相關(guān)期刊論文 前6條

1 周愛民;股市泡沫及其檢驗(yàn)方法[J];經(jīng)濟(jì)科學(xué);1998年05期

2 朱偉驊;張宗新;;投資者情緒、市場(chǎng)波動(dòng)與股市泡沫[J];經(jīng)濟(jì)理論與經(jīng)濟(jì)管理;2008年02期

3 王晉斌,劉元春;投資選擇權(quán)約束、意見分歧與中國(guó)股市風(fēng)險(xiǎn)[J];經(jīng)濟(jì)研究;2002年08期

4 江振華,李敏,湯大杰;對(duì)外開放條件下的中國(guó)股市風(fēng)險(xiǎn)分析[J];經(jīng)濟(jì)研究;2004年03期

5 劉q，

本文編號(hào)：1630812