本文選題：非理性泡沫　切入點(diǎn)：形成機(jī)理　出處：《成都理工大學(xué)》2016年碩士論文

【摘要】：在我國(guó)經(jīng)濟(jì)總量躍居世界第二大國(guó)的背景下,我國(guó)需要建設(shè)一個(gè)強(qiáng)大的資本市場(chǎng)。近年來(lái),國(guó)家明確提出要做大做強(qiáng)股市,股市的戰(zhàn)略地位提到了前所未有的高度。然而,我國(guó)股市由于制度和環(huán)境等自身原因,使得股市的非理性色彩嚴(yán)重,常常產(chǎn)生比較嚴(yán)重的非理性泡沫。急漲急跌的現(xiàn)實(shí)情況不僅不利于股市的長(zhǎng)期健康發(fā)展,而且還極大地威脅到了金融穩(wěn)定。非理性泡沫具體是如何形成和破滅的,如何構(gòu)建一個(gè)行之有效的方法對(duì)非理性泡沫進(jìn)行識(shí)別,從而制定相應(yīng)的有效措施,成為市場(chǎng)各參與主體十分關(guān)注的重要問(wèn)題。傳統(tǒng)的金融理論以“理性人”和有效市場(chǎng)為理論假設(shè)基礎(chǔ),忽視了對(duì)投資者實(shí)際決策行為,導(dǎo)致時(shí)常無(wú)法解釋現(xiàn)實(shí)人的經(jīng)濟(jì)行為。近年來(lái),金融學(xué)理論在研究股市泡沫時(shí)傾向于:從只注重價(jià)格行為,到逐步重視交易量,并研究它所包含心理行為的內(nèi)容和信息,并且將成交量和價(jià)格作為一個(gè)整體對(duì)資本市場(chǎng)進(jìn)行研究的趨勢(shì)和特點(diǎn)�；谝陨险J(rèn)識(shí),論文以行為金融學(xué)為理論基礎(chǔ),從投資者交易的角度深入分析非理性泡沫形成的機(jī)理,并在此基礎(chǔ)上對(duì)我國(guó)股市的特殊情況和環(huán)境進(jìn)行歸納分析。在以上理論和現(xiàn)實(shí)框架下,采用TAR模型對(duì)我國(guó)上證綜合指數(shù)2008年10月28日至2016年3月18日的滬市非理性泡沫情況進(jìn)行了存在性識(shí)別。選取了上證綜指振幅、換手率、成交額變化率三個(gè)指標(biāo)進(jìn)行了實(shí)證研究,結(jié)果表明:在該樣本區(qū)間內(nèi),我國(guó)股市非理性泡沫具有普遍存在性,但總體上持續(xù)時(shí)間較短。在2013年初和2015年中集中出現(xiàn)過(guò)兩次明顯的泡沫,泡沫的嚴(yán)重程度比較大。進(jìn)一步,對(duì)非理性泡沫程度最大的2015年作了深度研究,發(fā)現(xiàn)同時(shí)期的中小板和創(chuàng)業(yè)板也存在泡沫,滬市的泡沫程度最小,創(chuàng)業(yè)板的泡沫程度最大。同時(shí)還發(fā)現(xiàn)2015年出現(xiàn)的股市泡沫,較早出現(xiàn)在了創(chuàng)業(yè)板,隨后集中出現(xiàn)在了中小板。在識(shí)別出泡沫存在的基礎(chǔ)上,論文接著采用VAR模型對(duì)2014-2016年的非理性泡沫的主導(dǎo)因素進(jìn)行了研究,將該時(shí)間樣本分為“牛市”和“熊市”兩個(gè)階段分別進(jìn)行識(shí)別。在選擇指標(biāo)方面,順應(yīng)現(xiàn)階段的股市交易制度和互聯(lián)網(wǎng)環(huán)境,選取了“股票”關(guān)鍵字下的百度指數(shù)、融資融券額、漲跌停數(shù)量三個(gè)指標(biāo)分別對(duì)上漲和下跌的因素進(jìn)行研究。研究結(jié)果表明:2015年的股市泡沫是由杠桿交易主導(dǎo)形成的,對(duì)整個(gè)上漲貢獻(xiàn)度達(dá)到了37.35%;然而在泡沫的破滅時(shí),占據(jù)主導(dǎo)因素的卻是投資者的悲觀情緒及過(guò)度反應(yīng),對(duì)整個(gè)下跌貢獻(xiàn)度達(dá)到了40.33%。很明顯,我國(guó)股市的非理性泡沫主導(dǎo)因素存在非對(duì)稱性。論文所作研究既建立在行為金融學(xué)理論基礎(chǔ)之上,又充分尊重我國(guó)股市的特殊制度和非理性因素較重等客觀事實(shí)。在對(duì)非理性泡沫形成機(jī)理的研究時(shí),從投資者的實(shí)際決策心理出發(fā)。采用的TAR和VAR計(jì)量模型在對(duì)我國(guó)股市非理性泡沫的識(shí)別問(wèn)題上,不僅對(duì)泡沫的存在性進(jìn)行了識(shí)別,對(duì)非理性泡沫的主導(dǎo)性因素進(jìn)行了量化分析。論文在股市泡沫的識(shí)別方法上避免了因估值問(wèn)題帶來(lái)的結(jié)果偏差,從量?jī)r(jià)交易及量?jī)r(jià)轉(zhuǎn)化過(guò)程角度進(jìn)行了識(shí)別,該方法減少了系統(tǒng)性偏差,具有較高的可信度。有利于準(zhǔn)確識(shí)別股市非理性泡沫、控制金融風(fēng)險(xiǎn)、維護(hù)金融秩序、防范金融危機(jī)、促進(jìn)經(jīng)濟(jì)穩(wěn)定健康發(fā)展,為投資者提供科學(xué)的投資決策,為監(jiān)管層提供合理的政策制定依據(jù),這些都具有重要的現(xiàn)實(shí)意義。
[Abstract]:In China's economic aggregate ranked second in the world's big background, our country needs to build a strong capital market. In recent years, the state clearly to bigger and stronger strategic position of the stock market, stock market mentioned hitherto unknown height. However, due to China's stock market system and the environment for their own reasons, the non rational color stock market the serious, often cause serious irrational bubble. The long-term healthy development of the reality of soaring plunge is not conducive to the stock market, but also greatly threaten financial stability. The irrational bubble formation and how burst, how to build an effective method to identify the non rational bubble, thus making some effective measures, an important problem has become the main market players of great concern. The financial theory to the "rational people" and the efficient market hypothesis is the foundation of traditional, ignore The investor's actual decision behavior, often cannot explain the realistic economic behavior of people. In recent years, the financial theory in the research of stock market bubble from tend to focus only on price behavior, trading volume gradually paid attention to, and the research content and the information it contains psychological behavior, and the volume and price as the trend and characteristics of a the research on the capital market. Based on the above understanding, the paper on the behavioral finance theory, in-depth analysis of the mechanism of irrational bubble formation from investors perspective, analyzed and on the basis of China's stock market situation and environment. In the above theoretical and practical framework, using the TAR model non rational bubble on China's Shanghai Composite Index from October 28, 2008 to March 18, 2016 in Shanghai were selected. The existence of the recognition of Shanghai amplitude, turnover, turnover The amount of the change rate of the three indicators of the empirical research, the results showed that: in the sample period, China's stock market irrational bubble is an universal problem, but generally shorter duration. At the beginning of 2013 and 2015 in concentration appeared two obvious bubble, the severity of the bubble is relatively large. Further, the the greatest degree of irrational bubbles in 2015 made a depth study found that small and medium plate during the same period and the gem bubble, the minimum bubble level Shanghai stock market, the bubble degree of gem. It is also found that in 2015 the stock market bubble, earlier in the gem, then concentrated in the small board in recognition. Based on the bubble, then was studied using VAR model leading factors on non rational bubble 2014-2016 years time, the sample is divided into "bull" and "bear" two stages respectively. Identification. In the choice of indicators, conform to the current stock market trading system and Internet environment, select the "share" the Baidu keyword index, margin amount, price limit number three respectively to study the factors of rising and falling. The results show that in 2015 the stock market bubble is formed by leverage led on the whole, rising contribution reached 37.35%; however, the bubble burst, pessimism and overreaction is the dominant factors of investors, the contribution to 40.33%. decreased obviously, irrational bubbles in China's stock market. The main factor is asymmetric. The paper research is based on behavioral finance the theory basis, special system and non rational factors and full respect for China's stock market is the objective fact that. In the study of the formation mechanism of irrational bubbles, from investors The actual decision of psychological. Recognition problems using TAR and VAR model in the stock market of our country of irrational bubbles, not only for the existence of bubbles were identified, carried out a quantitative analysis of dominant factors on non rational bubbles. This avoids the problems brought by the valuation results in the deviation of stock market bubble recognition method on the recognition from the amount of price and trading volume and price conversion process point of view, this method reduces the systematic error has a higher reliability. To accurately identify the stock market irrational bubble, financial risk control, to maintain the financial order and prevent financial crisis, to promote stable and healthy development of the economy, provide the scientific investment decision for investors and the basis for regulators to provide reasonable policy, these have important practical significance.

【學(xué)位授予單位】：成都理工大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2016
【分類號(hào)】：F832.51

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