中國創(chuàng)業(yè)板股票市場泡沫檢驗(yàn)研究
發(fā)布時間：2019-04-21 13:06
【摘要】：2009年10月30日,我國創(chuàng)業(yè)板股票市場在深圳證券交易所正式成立,創(chuàng)業(yè)板股票市場主要是為了應(yīng)對中小創(chuàng)新型高科技企業(yè)的融資需求而設(shè)立的新型股票市場,是我國多層次資本市場的重要組成部分。創(chuàng)業(yè)板市場自成立以來,就伴隨著很多問題,高發(fā)行價、高市盈率以及高募集資金現(xiàn)象頻繁出現(xiàn)。整個股票市場的運(yùn)行狀態(tài)非常不穩(wěn)定,投資者的短期套利行為以及盲目跟風(fēng)現(xiàn)象較為常見。關(guān)于創(chuàng)業(yè)板股市是否存在泡沫的問題也一直在廣大投資者中間和學(xué)術(shù)界飽受爭論,本文基于這一點(diǎn)出發(fā),主要應(yīng)用計量經(jīng)濟(jì)學(xué)方法定量研究以下問題:在我國創(chuàng)業(yè)板股票市場建立6年多的背景下,整體市場是否存在泡沫、泡沫是否容易形成、泡沫在何時產(chǎn)生與破滅以及怎樣能夠避免股市泡沫進(jìn)一步放大等現(xiàn)實(shí)問題。本文首先從股票市場行情指標(biāo)漲跌幅度、市盈率、市凈率和換手率四個角度,通過與美國成熟的創(chuàng)業(yè)板市場納斯達(dá)克進(jìn)行對比,對我國創(chuàng)業(yè)板市場的泡沫狀態(tài)做了一個初步的判斷與分析,然后基于創(chuàng)業(yè)板綜合指數(shù)的波動來研究創(chuàng)業(yè)板股票的泡沫。本文主要利用R統(tǒng)計軟件進(jìn)行編程處理數(shù)據(jù),并使用了傳統(tǒng)的泡沫檢驗(yàn)方法游程檢驗(yàn)、單位根協(xié)整檢驗(yàn)以及前沿的GSADF泡沫檢驗(yàn)法,從不同角度來檢測與估計創(chuàng)業(yè)板股市的泡沫的存在性,泡沫的易生成度,以及實(shí)現(xiàn)對創(chuàng)業(yè)板股票市場泡沫的實(shí)時檢驗(yàn)。同時,根據(jù)實(shí)證檢驗(yàn)結(jié)果并結(jié)合當(dāng)時的宏觀經(jīng)濟(jì)與政策背景,簡要分析了一下泡沫的產(chǎn)生與破滅原因。文章最后分別從上市公司角度、投資者角度以及監(jiān)管與市場角度,提出預(yù)防我國創(chuàng)業(yè)板股市泡沫的政策與建議。本文的結(jié)論為,游程檢驗(yàn)結(jié)果表明我國創(chuàng)業(yè)板股票數(shù)據(jù)具有明顯的隨趨勢變化的特征,容易出現(xiàn)持續(xù)的同方向變化,即我國創(chuàng)業(yè)板市場的股票價格波動易于形成趨勢且容易產(chǎn)生泡沫;單位根協(xié)整關(guān)系檢驗(yàn)結(jié)果表明,創(chuàng)業(yè)板綜合指數(shù)與代表基本面價值走勢的一些宏觀經(jīng)濟(jì)變量之間不存在長期均衡的穩(wěn)定關(guān)系,即股票價格與其基本面價值之間并未保持長期穩(wěn)定的均衡關(guān)系,創(chuàng)業(yè)板股票市場上可能存在泡沫;根據(jù)Phillips等最新提出的GSADF泡沫檢驗(yàn)法及其框架下的PSY泡沫時點(diǎn)檢驗(yàn)方法對我國創(chuàng)業(yè)板綜合指數(shù)2010年7月至2016年3月期間的周收盤指數(shù)進(jìn)行檢測,總共檢測出三個泡沫區(qū)間,分別是2014年1月至2014年2月、2015年3月至2015年7月、2015年10月到2016年1月。結(jié)合我國創(chuàng)業(yè)板股票市場的實(shí)際走勢以及相應(yīng)的宏觀背景分析,PSY泡沫時點(diǎn)檢驗(yàn)法及修正的PSY泡沫時點(diǎn)檢驗(yàn)法對我國創(chuàng)業(yè)板市場股票泡沫具有良好的檢驗(yàn)效力,能夠?qū)崿F(xiàn)對我國創(chuàng)業(yè)板股票市場的實(shí)時檢驗(yàn),這對構(gòu)建我國創(chuàng)業(yè)板股市泡沫預(yù)警機(jī)制具有重大的意義。
[Abstract]:On October 30, 2009, China's gem stock market was formally established in Shenzhen Stock Exchange. The gem stock market is a new stock market set up to meet the financing needs of small and medium-sized innovative high-tech enterprises. It is an important part of China's multi-level capital market. Since its establishment, gem has been accompanied by many problems, such as high issue price, high price-to-earnings ratio and high fund raising. The whole stock market is very unstable, investors' short-term arbitrage behavior and blind follow-up phenomenon are more common. The issue of whether there is a bubble in the gem stock market has also been debated among investors and academia. Based on this point, this paper starts from this point of view. Econometrics is mainly used to quantitatively study the following problems: under the background of the establishment of gem stock market in China for more than six years, whether there is a bubble in the overall market, and whether the bubble is easy to form, When and when bubbles burst and how to avoid further magnification of the stock market bubble and other practical questions. First of all, this paper compares with NASDAQ, a mature American gem market, from the four angles of stock market index, price-to-earnings ratio, price-to-book ratio and turnover ratio, and then compares it with NASDAQ, a mature gem market in the United States. This paper makes a preliminary judgment and analysis on the bubble state of gem market in China, and then studies the bubble of gem stock based on the fluctuation of gem composite index. This paper mainly uses R statistics software to program and process data, and uses the traditional foam inspection method run-distance test, unit root co-integration test and frontier GSADF foam test method. From different angles to detect and estimate the existence of bubbles in gem stock market, the easy-to-generate degree of bubbles, and the realization of real-time testing of the bubble in gem stock market. At the same time, according to the empirical test results and combined with the macroeconomic and policy background at that time, this paper briefly analyzes the causes of the emergence and bursting of the bubble. Finally, from the angle of listed companies, investors and supervision and market, the paper puts forward some policies and suggestions to prevent the bubble of gem stock market in China. The conclusion of this paper is that the run-distance test results show that the gem stock data in China has obvious characteristics of changing with the trend, and it is easy to keep changing in the same direction. That is, the stock price fluctuation in the gem market of our country is easy to form the trend and easy to produce the bubble; The results of the unit root co-integration relationship test show that there is no long-term equilibrium between the gem composite index and some macroeconomic variables which represent the trend of fundamental value. That is, there is not a long-term stable equilibrium relationship between the stock price and its fundamental value, and there may be bubbles in the gem stock market. According to the latest GSADF foam test method proposed by Phillips and its PSY foam time point test method under the framework, the weekly closing index of China's gem composite index from July 2010 to March 2016 was tested, and a total of three foam intervals were detected. From January 2014 to February 2014, March 2015 to July 2015, October 2015 to January 2016. Combined with the actual trend of gem stock market in China and the corresponding macro-background analysis, the PSY foam time point test and the modified PSY foam time point test have a good testing effect on the gem stock bubble in China. It is of great significance to realize the real-time testing of gem stock market in China, which is of great significance to the construction of the early warning mechanism of gem stock market bubble in China.
【學(xué)位授予單位】：中國青年政治學(xué)院
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2016
【分類號】：F832.51
本文編號：2462230
[Abstract]:On October 30, 2009, China's gem stock market was formally established in Shenzhen Stock Exchange. The gem stock market is a new stock market set up to meet the financing needs of small and medium-sized innovative high-tech enterprises. It is an important part of China's multi-level capital market. Since its establishment, gem has been accompanied by many problems, such as high issue price, high price-to-earnings ratio and high fund raising. The whole stock market is very unstable, investors' short-term arbitrage behavior and blind follow-up phenomenon are more common. The issue of whether there is a bubble in the gem stock market has also been debated among investors and academia. Based on this point, this paper starts from this point of view. Econometrics is mainly used to quantitatively study the following problems: under the background of the establishment of gem stock market in China for more than six years, whether there is a bubble in the overall market, and whether the bubble is easy to form, When and when bubbles burst and how to avoid further magnification of the stock market bubble and other practical questions. First of all, this paper compares with NASDAQ, a mature American gem market, from the four angles of stock market index, price-to-earnings ratio, price-to-book ratio and turnover ratio, and then compares it with NASDAQ, a mature gem market in the United States. This paper makes a preliminary judgment and analysis on the bubble state of gem market in China, and then studies the bubble of gem stock based on the fluctuation of gem composite index. This paper mainly uses R statistics software to program and process data, and uses the traditional foam inspection method run-distance test, unit root co-integration test and frontier GSADF foam test method. From different angles to detect and estimate the existence of bubbles in gem stock market, the easy-to-generate degree of bubbles, and the realization of real-time testing of the bubble in gem stock market. At the same time, according to the empirical test results and combined with the macroeconomic and policy background at that time, this paper briefly analyzes the causes of the emergence and bursting of the bubble. Finally, from the angle of listed companies, investors and supervision and market, the paper puts forward some policies and suggestions to prevent the bubble of gem stock market in China. The conclusion of this paper is that the run-distance test results show that the gem stock data in China has obvious characteristics of changing with the trend, and it is easy to keep changing in the same direction. That is, the stock price fluctuation in the gem market of our country is easy to form the trend and easy to produce the bubble; The results of the unit root co-integration relationship test show that there is no long-term equilibrium between the gem composite index and some macroeconomic variables which represent the trend of fundamental value. That is, there is not a long-term stable equilibrium relationship between the stock price and its fundamental value, and there may be bubbles in the gem stock market. According to the latest GSADF foam test method proposed by Phillips and its PSY foam time point test method under the framework, the weekly closing index of China's gem composite index from July 2010 to March 2016 was tested, and a total of three foam intervals were detected. From January 2014 to February 2014, March 2015 to July 2015, October 2015 to January 2016. Combined with the actual trend of gem stock market in China and the corresponding macro-background analysis, the PSY foam time point test and the modified PSY foam time point test have a good testing effect on the gem stock bubble in China. It is of great significance to realize the real-time testing of gem stock market in China, which is of great significance to the construction of the early warning mechanism of gem stock market bubble in China.
【學(xué)位授予單位】：中國青年政治學(xué)院
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2016
【分類號】：F832.51
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