本文選題：理性泡沫　切入點：內在泡沫　出處：《南京航空航天大學》2014年碩士論文　論文類型：學位論文

【摘要】：從中國股票市場成立至今，，股票指數(shù)經常呈現(xiàn)出大幅波動的狀態(tài)。股票價格脫離實體經濟大幅度的波動意味著泡沫的產生。國內外學者對于股票市場中是否存在泡沫、存在多少泡沫、存在什么形式的泡沫，以及中國政府應該如何對股市泡沫進行預防和控制等問題一直爭論不休。股票市場作為一國資本市場的有機組成部分，它穩(wěn)定、健康的發(fā)展關系到整個資本市場乃至一國宏觀經濟的能否平穩(wěn)、健康、可持續(xù)發(fā)展。所以，需要用科學的方法來研究股票市場的泡沫情況，這正是本文的出發(fā)點。 （1）基于對國內外關于股市泡沫相關文獻資料的研究，總結梳理了股市泡沫的理論研究成果和實證分析方法，發(fā)現(xiàn)對中國股票市場泡沫的檢驗與度量問題的研究相對不足。因此，就這個問題展開研究是有實用價值的。 （2）總結和比較了泡沫檢驗的一般方法，選擇了單位根檢驗對理性泡沫的存在性進行檢驗。并且發(fā)現(xiàn)內在泡沫模型可以在理性泡沫存在的基礎上，對內在泡沫這一特殊的理性泡沫進行檢驗。 （3）在對內在泡沫模型中的幾個假設做了合理性檢驗后，發(fā)現(xiàn)它是一種對現(xiàn)實情況擬合度較好的模型，能解釋股價的長期變動，所以選用了該模型進一步檢驗中國股票市場是否存在內在泡沫以及泡沫中是否含有非理性成分。結果發(fā)現(xiàn)，中國股票市場在2007年到2012年間長期存在內在性泡沫，并且在一些時間段存在非理性的特性。 （4）比較股票市場理性泡沫度量的一般模型發(fā)現(xiàn)，剩余收益模型在理論方面具有較強的合理性并在實證方面具有較高的實用性。本文針對中國股票市場的特點對模型進行了改進，并用改進過的模型對中國股票市場2003年到2012年這10年來的泡沫程度進行度量。結果發(fā)現(xiàn)2007年到2012年中國股票市場存在正向理性泡沫，并得到了泡沫的確切值。 （5）結合股票市場的泡沫情況從內在價值的可度量性、投資者的理性博弈以及股票市場國際化3個角度解釋了泡沫的生成原因并提出了泡沫的防控措施。
[Abstract]:Since the establishment of the Chinese stock market, the stock index has often shown a state of large volatility. The sharp fluctuation of stock prices from the real economy means the emergence of bubbles. Scholars at home and abroad have asked whether there is a bubble in the stock market. The number of bubbles, the form of bubbles, and how the Chinese government should prevent and control the stock market bubbles have been debated all the time. As an organic part of a country's capital market, the stock market is stable. The healthy development is related to the stability, health and sustainable development of the whole capital market and even the macro-economy of a country. Therefore, it is necessary to study the bubble situation of the stock market with scientific methods, which is the starting point of this paper. 1) based on the research of domestic and foreign literature on stock market bubble, this paper summarizes the theoretical research results and empirical analysis methods of stock market bubble, and finds that the research on the test and measurement of Chinese stock market bubble is relatively insufficient. It is of practical value to study this problem. 2) summarizing and comparing the general methods of foam test, choosing the unit root test to test the existence of rational foam, and finding that the internal foam model can be based on the existence of rational foam. The inner bubble, a special rational bubble, is tested. After testing the rationality of several assumptions in the internal bubble model, we find that it is a model with good fit for the actual situation and can explain the long-term change of stock price. Therefore, the model is used to further test whether there is an internal bubble in the Chinese stock market and whether there is any irrational component in the bubble. The results show that the Chinese stock market has a long-term intrinsic bubble from 2007 to 2012. And there are irrational properties in some time periods. 4) comparing with the general model of stock market rational bubble measurement, it is found that the residual return model has strong rationality in theory and high practicability in empirical aspect. This paper improves the model according to the characteristics of Chinese stock market. An improved model is used to measure the bubble degree of China's stock market from 2003 to 2012. The results show that there is a positive rational bubble in China's stock market from 2007 to 2012, and the exact value of the bubble is obtained. 5) combined with the bubble situation of stock market, this paper explains the reasons of bubble formation from three angles of intrinsic value measurability, rational game of investors and internationalization of stock market, and puts forward the measures to prevent and control the bubble.
【學位授予單位】：南京航空航天大學
【學位級別】：碩士
【學位授予年份】：2014
【分類號】：F832.51;F224

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