【摘要】：股票市場泡沫問題的研究是當代經(jīng)濟學的前沿領域之一。由于泡沫是產(chǎn)生經(jīng)濟危機的重要根源，因此分析股票市場泡沫問題對于防范金融危機，維護金融穩(wěn)定具有重要意義。 在股票市場泡沫問題的研究中，學者們普遍分析了資產(chǎn)價格相對于基本價值的向上偏離。然而，在經(jīng)濟的實際運行中，資產(chǎn)價格相對于基本價值的向下偏離，即，價值低估，卻很少被關注。而事實上，股票市場的價值低估會造成投資者信心缺失從而減少投資導致惡性循環(huán)，最終使得股票市場的財富效應及資源配置功能喪失。這種循環(huán)相對而言較為隱蔽，但是也具有自我強化的特點。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泡沫，是指市場價格低于其基本價值的部分。關于負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泡沫劃分為正泡沫與負泡沫，針對負泡沫問題進行研究。 中國股票市場至今已發(fā)展20余年，期間伴隨著巨幅的波動，尤其是2007年以來的暴漲及其隨后的快速下跌。我國學術界有關股票市場正泡沫的研究已經(jīng)取得一定進展，但是在股市持續(xù)低迷的今天，負泡沫的問題卻沒有得到相應的關注，筆者認為，這是一個重要的缺失。因此，本文結合我國股票市場試圖分析以下幾個問題：1.什么是股票市場負泡沫。2.我國股票市場是否存在負泡沫。3.哪些原因造成了股市負泡沫。4.針對我國市場又可以采取哪些手段進行負泡沫的治理�？梢哉f，分析股票市場負泡沫問題對于發(fā)展和健全我國股票市場機制具有重要意義。 由于在有效市場假說下，只有理性泡沫是可以存在的，傳統(tǒng)的金融理論無法對持續(xù)的股市泡沫進行解釋，而這種短期的理性泡沫并不符合市場上持續(xù)低迷的負泡沫存在現(xiàn)狀。所以，本文基于非理性的視角對整個股票市場負泡沫問題進行分析。 文章通過總結前人研究成果，從非理性的角度重新定義了股票市場正泡沫，并且引申出股票市場負泡沫的含義。在負泡沫度量方面，采用統(tǒng)計指標體系分析與實證檢驗的聯(lián)合方式對我國股票市場負泡沫現(xiàn)狀進行了分析，并且得出我國股市存在價值低估的問題這一結論。股票市場負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，結合我國股票市場從制度、政策、媒體層面進行外部原因的探究，并且發(fā)現(xiàn)中國上市公司分紅制度不規(guī)范、股票市場不透明、緊縮的貨幣政策及股市不適當?shù)臄U容都是造成股票市場負泡沫的重要原因。最后，針對成因筆者提出了幾點治理負泡沫的建議，包括培養(yǎng)價值投資者、完善股市制度、強制分紅、保持股票市場的供需均衡等。
[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.
【學位授予單位】：吉林大學
【學位級別】：碩士
【學位授予年份】：2012
【分類號】：F832.51;F224

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