中国股市泡沫测度与控制研究
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摘要
金融资产泡沫问题一直是当代经济学领域的理论前沿之一,也是人们关注的热点问题之一。在人类历史长河中,不乏有著名的资产价格泡沫事件,其中包括17至18世纪的郁金香狂热、南海股票泡沫和密西西比股票泡沫三大著名泡沫事件,20世纪80年代的阿根廷、智利、墨西哥、日本以及90年代的泰国、马来西亚、印度尼西亚和韩国,这些国家爆发的金融资产泡沫破灭给自身经济带来了众多不利影响,而2007年8月爆发的美国次贷危机更是给全球经济造成了沉重的打击。
伴随着我国金融市场的快速发展尤其是资本市场规模的日益扩大和开放程度的逐步提高,在我国经济体中也积累了越来越多的金融资产泡沫。如果这些日益膨胀的泡沫不能得到及时有效的消除,金融资产泡沫的加速膨胀甚至破裂势必会加大我国的宏观金融风险,给我国的经济发展带来不利的影响。因此,如何测度、防范和化解金融资产泡沫风险、控制金融泡沫路径就成为了政府、金融监管当局和经济研究学者期待解决的重要课题。
本论文以我国股票作为金融资产的代表进行研究,通过研究相关的泡沫理论,较为准确地测度了股市泡沫,深入分析泡沫对经济的影响并提出了抑制股市泡沫膨胀的对策。
本文的基本结构包括五个部分：
第一部分是绪论。这部分首先阐述论文的研究背景与研究意义,接下来对泡沫这个词进行规范的定义,准确地界定泡沫以及股市泡沫的概念是研究股市泡沫理论的基本前提。随后是国内外在该领域研究成果的综述,通过对国内外有关文献进行全面回顾、梳理和评价,系统地剖析和论述股市泡沫理论的研究现状、程度和成果,积聚相关的理论和使用的研究方法等,为论文的研究奠定理论和实证基础。最后是论文的基本研究结构、创新与不足。
第二部分是股市泡沫理论。这部分分为两小部分,第一部分是理性泡沫理论,具体包括确定性泡沫、持续再生性泡沫、爆炸性泡沫、周期性爆炸泡沫、内在泡沫和外生性泡沫；第二部分为非理性泡沫理论模型,具体包括噪音交易者模型、正反馈交易模型和时尚模型。通过对股市泡沫类型的阐述,为下面检测我国股市到底存在何种类型的泡沫奠定了理论基础。
第三部分是股市泡沫测度方法概述。这部分则系统阐述测度股市泡沫的研究方法,大致分为两个部分。第一部分是股市泡沫的检验方法,分直接与间接检验两种类型,包括方差边界检验、游程持续期依赖、MTAR模型等；第二部分是股市泡沫的度量方法,诸如直接值估测法、市盈率法、F-O模型等。
第四部分是股市泡沫测度的实证研究。这部分则以上证指数和深成指数为研究对象,通过游程持续期依赖方法来检验是否存在理性投机泡沫,结果显示无论是名义收益序列还是超常收益序列,上证指数和深成指数均存在理性投机泡沫。在进一步的研究中,由于理性泡沫中的确定性泡沫、持续再生性泡沫在现实中并不存在,本文运用MTAR模型检测上证指数是否存在理性泡沫中的周期性爆炸泡沫,研究结果显示沪市存在着周期性爆炸泡沫。接下来运用F-O模型测量泡沫程度,分析结果为：除了1995年、2001年、2002年、2004年和2008年这五年外,其他年份都存在着不同程度的投机泡沫,其中1993年、2007年和2000年的投机泡沫最为严重。
第五部分是股市泡沫对经济的影响与控制泡沫的政策建议。这部分分析了股市泡沫对经济的影响,包括积极与消极影响,最后提出一些具体的有效抑制股市泡沫的政策建议,具体包括了准确定位政府职能、完善投资者结构、完善信息披露制度、推进金融制度与金融工具创新、提高上市公司质量并加大上市公司对投资者的回报、强化股市的价格稳定机制和建立股市风险预警体系。
Financial asset bubble has always been one of the theory frontiers of contemporary economics field and also is one of the hot issues that people pay attention to. In the long river of human history, there are many famous events about asset price bubbles, including three most famous bubble events that happened in the 17th to the 18th century, they are tulip mania, south sea stock bubble and mississippi stock bubble, Argentina, Chile, Mexico, Japan in the 1980s and Thailand, Malaysia, Indonesia and South Korea in the 1990s, The outbreak of the financial assets bubble burst of these countries has brought many negative effects to their own economic, in august 2007, the outbreak of the U.S. subprime mortgage crisis give a heavy blow. to the global economy.
With the rapid development of China's financial market, especially with the growing scale and the increasing openness of capital market, China's economy has also accumulated a growing number of financial asset bubbles. If the expanding bubble can not be timely and effectively eliminated, accelerated expansion of the financial asset bubble and even burst is bound to increase the risk of China's macro-financial and bring negative effects to China's economic development. Therefore, how to measure, prevent and defuse the risk of financial asset bubble, control financial bubble path becomes an important subject that government, financial regulators and economic researchers expect to resolve.
In this thesis, stock is used as a representative of financial asset in the research, through research related to the bubble theory, a more accurate measure of the stock market bubble, in-depth understanding of the impact of bubble to the economic and put forward countermeasures that inhibit the expansion of stock market bubble.
The basic structure of this paper consists of five parts:
The first part is the introduction. This part firstly describes the research background and significance, then gives the standard definition of bubble, the accurate define of the concept of bubble and stock market bubble is the basic premise to the study of stock market bubble theory. Followed is the synthesis of the domestic and international research in this field, through an overall review、carding and evaluation of the related literature at home and abroad, systematically analysis and expound the present study situation、level and achievements of the stock market bubble theory, accumulate relevant theories and research methods, this lays theoretical and empirical foundation for the study. Finally is the basic research structure, innovation and inadequate of the paper.
The second part is the stock market bubble theory. This part consists of the two small parts, the first part is the rational bubble theory, specific include the certainty bubble, continuous regeneration bubble, explosive bubble, periodic explosive bubble, intrinsic bubble and exogenous bubble; The second part is the theoretical model of non-rational bubble, specific includes noise traders model,positive feedback trading model, and fashion model. Through the description of the type of stock market bubble, it lays theoretical basis for the following test about which type of bubble exists in the China's stock market in the end.
The third part is an overview of the stock market bubble Measurement. This part systematically describes methods of the testing and measurement of the stock market bubble, it consists of the two parts. The first part is the testing methods of the stock market bubble, consist of direct and indirect test, including variance bound test, run duration dependence, MTAR model, etc.;The second part is the measurement methods of stock market bubble, such as direct value estimation method, P/E ratio method, F-O model.
The fourth part is the empirical study of the testing and measure of stock market bubble. This part uses Shanghai Composite Index and Shenzhen Component Index for the study, by the run duration dependence approach to test the existence of rational speculative bubble, the results showed that both the nominal return series and abnormal return series, both Shanghai Index and Shenzhen Component Index have rational speculative bubbles.In further studies, because the certainty rational bubble, continuous regeneration bubble does not exist in reality, this paper uses MTAR model to test whether there is periodic explosion bubble in Shanghai Stock Index, the results showed the existence of periodic explosion bubble in Shanghai Stock Market. Then F-O model is used to measure the bubble level,the result shows in addition to1995、2001、2002、2004 and 2008 these five years, there were varying degrees of speculative bubble in the other years, the speculative bubble is serious in 1993、2007 and 2000.
The fifth part is the impact of the stock market bubble to the economy and the policy recommendations to control bubble. This section analyzes impact of the stock market bubble to the economy, including the positive and negative affect, and finally gives some specific policy recommendations for the effectively inhibition of stock market bubble, Specific include the accurate positioning function of government, to perfect the investors structure, to perfect the information disclosure system, to promote the financial system and financial tool innovation, to improve the quality of listed companies and enlarge the return to investors, to strengthen the stock price stability mechanism and the establishment of stock market risk early-warning system.
伴随着我国金融市场的快速发展尤其是资本市场规模的日益扩大和开放程度的逐步提高,在我国经济体中也积累了越来越多的金融资产泡沫。如果这些日益膨胀的泡沫不能得到及时有效的消除,金融资产泡沫的加速膨胀甚至破裂势必会加大我国的宏观金融风险,给我国的经济发展带来不利的影响。因此,如何测度、防范和化解金融资产泡沫风险、控制金融泡沫路径就成为了政府、金融监管当局和经济研究学者期待解决的重要课题。
本论文以我国股票作为金融资产的代表进行研究,通过研究相关的泡沫理论,较为准确地测度了股市泡沫,深入分析泡沫对经济的影响并提出了抑制股市泡沫膨胀的对策。
本文的基本结构包括五个部分：
第一部分是绪论。这部分首先阐述论文的研究背景与研究意义,接下来对泡沫这个词进行规范的定义,准确地界定泡沫以及股市泡沫的概念是研究股市泡沫理论的基本前提。随后是国内外在该领域研究成果的综述,通过对国内外有关文献进行全面回顾、梳理和评价,系统地剖析和论述股市泡沫理论的研究现状、程度和成果,积聚相关的理论和使用的研究方法等,为论文的研究奠定理论和实证基础。最后是论文的基本研究结构、创新与不足。
第二部分是股市泡沫理论。这部分分为两小部分,第一部分是理性泡沫理论,具体包括确定性泡沫、持续再生性泡沫、爆炸性泡沫、周期性爆炸泡沫、内在泡沫和外生性泡沫；第二部分为非理性泡沫理论模型,具体包括噪音交易者模型、正反馈交易模型和时尚模型。通过对股市泡沫类型的阐述,为下面检测我国股市到底存在何种类型的泡沫奠定了理论基础。
第三部分是股市泡沫测度方法概述。这部分则系统阐述测度股市泡沫的研究方法,大致分为两个部分。第一部分是股市泡沫的检验方法,分直接与间接检验两种类型,包括方差边界检验、游程持续期依赖、MTAR模型等；第二部分是股市泡沫的度量方法,诸如直接值估测法、市盈率法、F-O模型等。
第四部分是股市泡沫测度的实证研究。这部分则以上证指数和深成指数为研究对象,通过游程持续期依赖方法来检验是否存在理性投机泡沫,结果显示无论是名义收益序列还是超常收益序列,上证指数和深成指数均存在理性投机泡沫。在进一步的研究中,由于理性泡沫中的确定性泡沫、持续再生性泡沫在现实中并不存在,本文运用MTAR模型检测上证指数是否存在理性泡沫中的周期性爆炸泡沫,研究结果显示沪市存在着周期性爆炸泡沫。接下来运用F-O模型测量泡沫程度,分析结果为：除了1995年、2001年、2002年、2004年和2008年这五年外,其他年份都存在着不同程度的投机泡沫,其中1993年、2007年和2000年的投机泡沫最为严重。
第五部分是股市泡沫对经济的影响与控制泡沫的政策建议。这部分分析了股市泡沫对经济的影响,包括积极与消极影响,最后提出一些具体的有效抑制股市泡沫的政策建议,具体包括了准确定位政府职能、完善投资者结构、完善信息披露制度、推进金融制度与金融工具创新、提高上市公司质量并加大上市公司对投资者的回报、强化股市的价格稳定机制和建立股市风险预警体系。
Financial asset bubble has always been one of the theory frontiers of contemporary economics field and also is one of the hot issues that people pay attention to. In the long river of human history, there are many famous events about asset price bubbles, including three most famous bubble events that happened in the 17th to the 18th century, they are tulip mania, south sea stock bubble and mississippi stock bubble, Argentina, Chile, Mexico, Japan in the 1980s and Thailand, Malaysia, Indonesia and South Korea in the 1990s, The outbreak of the financial assets bubble burst of these countries has brought many negative effects to their own economic, in august 2007, the outbreak of the U.S. subprime mortgage crisis give a heavy blow. to the global economy.
With the rapid development of China's financial market, especially with the growing scale and the increasing openness of capital market, China's economy has also accumulated a growing number of financial asset bubbles. If the expanding bubble can not be timely and effectively eliminated, accelerated expansion of the financial asset bubble and even burst is bound to increase the risk of China's macro-financial and bring negative effects to China's economic development. Therefore, how to measure, prevent and defuse the risk of financial asset bubble, control financial bubble path becomes an important subject that government, financial regulators and economic researchers expect to resolve.
In this thesis, stock is used as a representative of financial asset in the research, through research related to the bubble theory, a more accurate measure of the stock market bubble, in-depth understanding of the impact of bubble to the economic and put forward countermeasures that inhibit the expansion of stock market bubble.
The basic structure of this paper consists of five parts:
The first part is the introduction. This part firstly describes the research background and significance, then gives the standard definition of bubble, the accurate define of the concept of bubble and stock market bubble is the basic premise to the study of stock market bubble theory. Followed is the synthesis of the domestic and international research in this field, through an overall review、carding and evaluation of the related literature at home and abroad, systematically analysis and expound the present study situation、level and achievements of the stock market bubble theory, accumulate relevant theories and research methods, this lays theoretical and empirical foundation for the study. Finally is the basic research structure, innovation and inadequate of the paper.
The second part is the stock market bubble theory. This part consists of the two small parts, the first part is the rational bubble theory, specific include the certainty bubble, continuous regeneration bubble, explosive bubble, periodic explosive bubble, intrinsic bubble and exogenous bubble; The second part is the theoretical model of non-rational bubble, specific includes noise traders model,positive feedback trading model, and fashion model. Through the description of the type of stock market bubble, it lays theoretical basis for the following test about which type of bubble exists in the China's stock market in the end.
The third part is an overview of the stock market bubble Measurement. This part systematically describes methods of the testing and measurement of the stock market bubble, it consists of the two parts. The first part is the testing methods of the stock market bubble, consist of direct and indirect test, including variance bound test, run duration dependence, MTAR model, etc.;The second part is the measurement methods of stock market bubble, such as direct value estimation method, P/E ratio method, F-O model.
The fourth part is the empirical study of the testing and measure of stock market bubble. This part uses Shanghai Composite Index and Shenzhen Component Index for the study, by the run duration dependence approach to test the existence of rational speculative bubble, the results showed that both the nominal return series and abnormal return series, both Shanghai Index and Shenzhen Component Index have rational speculative bubbles.In further studies, because the certainty rational bubble, continuous regeneration bubble does not exist in reality, this paper uses MTAR model to test whether there is periodic explosion bubble in Shanghai Stock Index, the results showed the existence of periodic explosion bubble in Shanghai Stock Market. Then F-O model is used to measure the bubble level,the result shows in addition to1995、2001、2002、2004 and 2008 these five years, there were varying degrees of speculative bubble in the other years, the speculative bubble is serious in 1993、2007 and 2000.
The fifth part is the impact of the stock market bubble to the economy and the policy recommendations to control bubble. This section analyzes impact of the stock market bubble to the economy, including the positive and negative affect, and finally gives some specific policy recommendations for the effectively inhibition of stock market bubble, Specific include the accurate positioning function of government, to perfect the investors structure, to perfect the information disclosure system, to promote the financial system and financial tool innovation, to improve the quality of listed companies and enlarge the return to investors, to strengthen the stock price stability mechanism and the establishment of stock market risk early-warning system.
引文
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