發(fā)布時(shí)間：2018-08-16 11:02

【摘要】：股票市場(chǎng)泡沫問題的研究是當(dāng)代經(jīng)濟(jì)學(xué)的前沿領(lǐng)域之一。由于泡沫是產(chǎn)生經(jīng)濟(jì)危機(jī)的重要根源，因此分析股票市場(chǎng)泡沫問題對(duì)于防范金融危機(jī)，維護(hù)金融穩(wěn)定具有重要意義。 在股票市場(chǎng)泡沫問題的研究中，學(xué)者們普遍分析了資產(chǎn)價(jià)格相對(duì)于基本價(jià)值的向上偏離。然而，在經(jīng)濟(jì)的實(shí)際運(yùn)行中，資產(chǎn)價(jià)格相對(duì)于基本價(jià)值的向下偏離，即，價(jià)值低估，卻很少被關(guān)注。而事實(shí)上，股票市場(chǎng)的價(jià)值低估會(huì)造成投資者信心缺失從而減少投資導(dǎo)致惡性循環(huán)，最終使得股票市場(chǎng)的財(cái)富效應(yīng)及資源配置功能喪失。這種循環(huán)相對(duì)而言較為隱蔽，但是也具有自我強(qiáng)化的特點(diǎn)。2000年，羅伯特席勒在其《非理性繁榮》一書中將泡沫的反向定義為負(fù)泡沫，是指市場(chǎng)價(jià)格低于其基本價(jià)值的部分。關(guān)于負(fù)泡沫的研究至今鮮有人問津，因此，筆者在本文中將股票市場(chǎng)泡沫劃分為正泡沫與負(fù)泡沫，針對(duì)負(fù)泡沫問題進(jìn)行研究。 中國(guó)股票市場(chǎng)至今已發(fā)展20余年，期間伴隨著巨幅的波動(dòng)，尤其是2007年以來的暴漲及其隨后的快速下跌。我國(guó)學(xué)術(shù)界有關(guān)股票市場(chǎng)正泡沫的研究已經(jīng)取得一定進(jìn)展，但是在股市持續(xù)低迷的今天，負(fù)泡沫的問題卻沒有得到相應(yīng)的關(guān)注，筆者認(rèn)為，這是一個(gè)重要的缺失。因此，本文結(jié)合我國(guó)股票市場(chǎng)試圖分析以下幾個(gè)問題：1.什么是股票市場(chǎng)負(fù)泡沫。2.我國(guó)股票市場(chǎng)是否存在負(fù)泡沫。3.哪些原因造成了股市負(fù)泡沫。4.針對(duì)我國(guó)市場(chǎng)又可以采取哪些手段進(jìn)行負(fù)泡沫的治理�？梢哉f，分析股票市場(chǎng)負(fù)泡沫問題對(duì)于發(fā)展和健全我國(guó)股票市場(chǎng)機(jī)制具有重要意義。 由于在有效市場(chǎng)假說下，只有理性泡沫是可以存在的，傳統(tǒng)的金融理論無法對(duì)持續(xù)的股市泡沫進(jìn)行解釋，而這種短期的理性泡沫并不符合市場(chǎng)上持續(xù)低迷的負(fù)泡沫存在現(xiàn)狀。所以，本文基于非理性的視角對(duì)整個(gè)股票市場(chǎng)負(fù)泡沫問題進(jìn)行分析。 文章通過總結(jié)前人研究成果，從非理性的角度重新定義了股票市場(chǎng)正泡沫，并且引申出股票市場(chǎng)負(fù)泡沫的含義。在負(fù)泡沫度量方面，采用統(tǒng)計(jì)指標(biāo)體系分析與實(shí)證檢驗(yàn)的聯(lián)合方式對(duì)我國(guó)股票市場(chǎng)負(fù)泡沫現(xiàn)狀進(jìn)行了分析，并且得出我國(guó)股市存在價(jià)值低估的問題這一結(jié)論。股票市場(chǎng)負(fù)泡沫的成因是本文的核心部分。首先，從非理性的視角入手，分析了認(rèn)知偏差的心理因素、羊群行為及噪音交易者與正反饋行為等內(nèi)部成因。其次，結(jié)合我國(guó)股票市場(chǎng)從制度、政策、媒體層面進(jìn)行外部原因的探究，并且發(fā)現(xiàn)中國(guó)上市公司分紅制度不規(guī)范、股票市場(chǎng)不透明、緊縮的貨幣政策及股市不適當(dāng)?shù)臄U(kuò)容都是造成股票市場(chǎng)負(fù)泡沫的重要原因。最后，針對(duì)成因筆者提出了幾點(diǎn)治理負(fù)泡沫的建議，包括培養(yǎng)價(jià)值投資者、完善股市制度、強(qiáng)制分紅、保持股票市場(chǎng)的供需均衡等。
[Abstract]:The research of stock market bubble is one of the frontier fields of contemporary economics. Because bubble is an important source of economic crisis, it is of great significance to analyze the bubble of stock market to prevent financial crisis and maintain financial stability. In the research of stock market bubble, scholars generally analyze the upward deviation of asset price relative to basic value. However, in the actual operation of the economy, the downward deviation of asset prices relative to the basic value, that is, the undervaluation, is seldom paid attention to. In fact, the undervaluation of the stock market will lead to the loss of investor confidence, which will reduce the vicious circle of investment, and ultimately make the wealth effect and resource allocation function of the stock market lose. This cycle is relatively subtle, but also self-reinforcing. In 2000, Robert Schiller defined the reverse of a bubble as a negative bubble in his book Irrational Prosperity, which refers to the portion of the market price below its basic value. So far, the research on negative bubble is seldom studied. Therefore, the author divides the stock market bubble into positive bubble and negative bubble in this paper, and studies the problem of negative bubble. China's stock market has been developing for more than 20 years, accompanied by huge volatility, especially the surge since 2007 and its subsequent rapid decline. Some progress has been made in the research of the positive bubble in the stock market in our country, but the problem of negative bubble has not been paid attention to in today's stock market. The author thinks that this is an important deficiency. Therefore, this paper tries to analyze the following several questions: 1. 1. What is a negative stock market bubble. 2. Is there a negative bubble in China's stock market? What caused the negative bubble. 4. 4. In view of China's market and what measures can be taken to negative bubble governance. It can be said that the analysis of negative bubble in stock market is of great significance to the development and improvement of stock market mechanism in China. Under the efficient market hypothesis, only rational bubbles can exist. The traditional financial theory can not explain the sustained stock market bubbles, but this short-term rational bubble does not accord with the existence of negative bubbles in the market. Therefore, this paper analyzes the negative bubble problem of the whole stock market from the perspective of irrationality. By summarizing the previous research results, this paper redefines the positive bubble of stock market from the irrational angle, and extends the meaning of negative bubble in stock market. In the aspect of measurement of negative bubble, this paper analyzes the current situation of negative bubble in stock market of our country by means of the combination of statistical index system analysis and empirical test, and draws the conclusion that the value of stock market is undervalued in our country. The cause of negative bubble in stock market is the core part of this paper. Firstly, this paper analyzes the psychological factors of cognitive bias, herd behavior, noise traders and positive feedback behavior from the perspective of irrationality. Secondly, combining the stock market of our country from the system, the policy, the media level carries on the external reason research, and discovers that the Chinese listed company dividend system is not standard, the stock market is not transparent, Tight monetary policy and inappropriate stock market expansion are important reasons for the negative bubble in the stock market. Finally, the author puts forward some suggestions on how to control the negative bubble, including training value investors, perfecting stock market system, enforcing dividends, and keeping the balance between supply and demand in stock market.
【學(xué)位授予單位】：吉林大學(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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本文編號(hào)：2185793