本文選題：泡沫 + 正反饋交易��； 參考：《復(fù)旦大學(xué)》2012年碩士論文

【摘要】：創(chuàng)業(yè)板自成立以來(lái),就伴隨著較多的問(wèn)題,例如“三高”現(xiàn)象,包括高發(fā)行價(jià),高市盈率和高募集資金的狀況。整個(gè)市場(chǎng)的運(yùn)行也一直處于極度亢奮之中,投資者的交易行為也趨于非理性。關(guān)于創(chuàng)業(yè)板是否存在泡沫的問(wèn)題一直在學(xué)術(shù)界和廣大投資者中間飽受爭(zhēng)論,但相關(guān)結(jié)論大多基于定性的分析。2010年6月,創(chuàng)業(yè)板指數(shù)的推出為我們運(yùn)用定量分析方法研究判斷整個(gè)市場(chǎng)的運(yùn)行提供了有效的數(shù)據(jù)支持。 在本文的研究中,嘗試解決的問(wèn)題主要有兩個(gè),一是識(shí)別判斷我國(guó)創(chuàng)業(yè)板市場(chǎng)在過(guò)去的時(shí)間內(nèi)是否存在泡沫,二是從某一具體角度出發(fā),探究創(chuàng)業(yè)板泡沫的部分形成機(jī)制,挖掘創(chuàng)業(yè)板市場(chǎng)泡沫背后的推動(dòng)因素。 本文在回顧前人研究的基礎(chǔ)之上,通過(guò)將深圳創(chuàng)業(yè)板市場(chǎng)與國(guó)際上多個(gè)成熟的創(chuàng)業(yè)板市場(chǎng)同時(shí)期運(yùn)行狀況進(jìn)行比較以及運(yùn)用游程檢驗(yàn)、持續(xù)期依賴檢驗(yàn)等方法對(duì)創(chuàng)業(yè)板市場(chǎng)泡沫進(jìn)行了識(shí)別,同時(shí)通過(guò)對(duì)混合理性正反饋模型的借鑒探討,確定了正反饋交易策略在泡沫形成過(guò)程中的重要作用,并通過(guò)實(shí)證檢驗(yàn)發(fā)現(xiàn)了創(chuàng)業(yè)板市場(chǎng)中的存在大量的正反饋交易行為。最后,筆者基于以上研究的結(jié)論為我國(guó)創(chuàng)業(yè)板市場(chǎng)的健康良性的發(fā)展提出一些合理的建議。
[Abstract]:Since the establishment of the gem, there have been many problems, such as the "three high" phenomenon, including high issue price, high price-earnings ratio and high raising of funds.The operation of the whole market has been in extreme excitement, investors trading behavior tends to irrational.The issue of whether there is a bubble in the gem has long been debated among academics and investors at large, but most of the relevant conclusions are based on qualitative analysis. In June 2010,The launch of gem index provides effective data support for us to use quantitative analysis method to study and judge the operation of the whole market.In the research of this paper, there are two main problems to be solved, one is to identify and judge whether there is a bubble in the gem market in the past time, the other is to explore the formation mechanism of the gem bubble from a specific angle.Mining gem market bubble behind the driving factor.On the basis of reviewing the previous studies, this paper compares the operation status of Shenzhen gem market with that of many mature gem markets in the world and makes use of tour test.The duration dependence test and other methods are used to identify the bubble in the gem market. At the same time, through the study of mixed rational positive feedback model, the important role of positive feedback trading strategy in the process of bubble formation is determined.And through the empirical test found that there are a large number of positive feedback trading behavior in the gem market.Finally, based on the above conclusions, the author puts forward some reasonable suggestions for the healthy and benign development of gem in China.
【學(xué)位授予單位】：復(fù)旦大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類號(hào)】：F832.51;F224

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