本文選題：股市泡沫　切入點：持續(xù)期依賴　出處：《北方工業(yè)大學》2012年碩士論文　論文類型：學位論文

【摘要】：股票市場泡沫問題一直是金融理論界和實務界關注和爭論的問題之一,泡沫的產生和破滅會對一個國家金融市場及經濟環(huán)境產生重大影響,因此對股票市場泡沫的研究具有重大理論和現實意義。本文在國內外相關研究基礎上,從實證角度對上海和深圳證券市場不同時期泡沫的存在性、泡沫的度量及泡沫的破滅預測三個問題進行研究。 本文的研究內容主要分為三部分：第一部分對我國股票市場泡沫的存在性進行檢驗,在相關檢驗理論基礎上,分別推導了游程持續(xù)期依賴分析模型和沖量門限自回歸模型(MTAR),并利用這兩種方法對上證綜指和深證綜指1997年至2011年的泡沫存在性進行了檢驗；第二部分內容基于相關泡沫度量理論及模型,對上證綜指和深證綜指1997年至2011年的泡沫大小進行度量,實證研究中使用兩種方法,第一種方法是利用市盈率指標度量各年的泡沫大小,第二種方法是對剩余價值收益模型(F-O)進行修正,并用修正后的模型計算各年泡沫度指標,進而判斷泡沫的大小情況;第三部分應用當前最新的金融物理學研究成果,對上證綜指和深證綜指泡沫的破滅時間進行預測,在相關理論基礎上經過推導得到預測泡沫破滅時間的對數周期冪律模型(LPPL),然后對該模型進行一系列簡化處理,并應用遺傳算法估計模型中的未知參數,進而得到泡沫破滅的預測時間。 根據本文的研究得出以下結論：第一,在本文的研究時間范圍1997年至2011年間,曾經出現過三次泡沫,分別是1997年至2001年、2005年至2008年和2009年至2011年；第二,在對泡沫的度量方面,用市盈率指標和剩余價值收益模型得到的結論十分一致,2000年和2007年的股票市場泡沫比較大,特別是2007年的泡沫度達到歷史最高點,同時實證結果表明2005年的股票市場出現最具價值的投資時機；第三,股票市場泡沫的破滅時間是可以預測的,前提是泡沫需要呈現出特定性質,即只有在股價走勢符合對數周期震蕩性質的情況下,利用對數周期冪律模型才能夠較好地預測泡沫的破滅時間。
[Abstract]:The bubble of stock market has always been one of the problems concerned and debated by the financial theorists and practitioners. The emergence and burst of the bubble will have a great impact on the financial market and economic environment of a country. Therefore, it is of great theoretical and practical significance to study the stock market bubble. On the basis of domestic and foreign relevant research, this paper makes an empirical study on the existence of bubbles in Shanghai and Shenzhen stock markets in different periods. The measurement of bubbles and bubble burst prediction are studied. The research content of this paper is divided into three parts: the first part tests the existence of the stock market bubble in our country, on the basis of the relevant test theory, The model of run duration dependence analysis and impulse threshold autoregressive model are derived, and the bubble existence of Shanghai Composite Index and Shenzhen Composite Index from 1997 to 2011 are tested by using these two methods. The second part measures the bubble size of Shanghai Composite Index and Shenzhen Composite Index from 1997 to 2011 based on the relevant bubble measurement theory and model. The first method is to measure the bubble size of each year by using the price-earnings ratio index. The second method is to modify the surplus value income model (F-O) and calculate the bubble index of each year by using the modified model, and then judge the bubble size. The third part uses the latest financial physics research results to predict the bursting time of the bubble of Shanghai Composite Index and Shenzhen Composite Index. On the basis of relevant theories, the logarithmic periodic power law model for predicting bubble burst time is derived, and then a series of simplified processes are carried out to estimate the unknown parameters in the model by genetic algorithm. Then the forecast time of bubble burst is obtained. According to the research of this paper, the following conclusions are drawn: first, there have been three bubbles between 1997 and 2011 in the time range of this study, namely, 1997 to 2001, 2001 to 2001 and 2001 to 2011; second, In the measurement of bubbles, the results obtained by using the price-earnings ratio index and the surplus value return model are very consistent. The stock market bubbles in 2000 and 2007 were relatively large, especially in 2007, the bubble degree reached the highest point in history. At the same time, the empirical results show that in 2005, the stock market has the most valuable investment opportunity. Third, the time of bubble burst can be predicted, provided that the bubble needs to take on a specific nature. That is, only when the stock price trend accords with the property of logarithmic periodic oscillation, can the logarithmic period power law model be used to predict the bursting time of the bubble.
【學位授予單位】：北方工業(yè)大學
【學位級別】：碩士
【學位授予年份】：2012
【分類號】：F832.51;F224

【參考文獻】

相關期刊論文 前10條

1 崔暢;劉金全;;我國股市投機泡沫分析——基于非線性協調整關系的實證檢驗[J];財經科學;2006年11期

2 徐愛農;;中國股票市場泡沫測度及其合理性研究[J];財經理論與實踐;2007年01期

3 周松柏;;中國證券市場泡沫問題實證研究[J];系統(tǒng)工程;2009年09期

4 全登華;中國股市理性投機泡沫檢驗[J];工業(yè)技術經濟;2003年02期

5 丁唯;;投機泡沫的持續(xù)期依賴檢驗——以上證指數為樣本[J];華東經濟管理;2005年11期

6 黃秀海;股票泡沫的涵義與生成機制[J];懷化學院學報;2004年04期

7 劉q，

本文編號：1575144