股票市场泡沫问的研究.pdfVIP

摘 要 股市泡沫是股票价格持续上涨导致其市场价格高于内在价值的经济现象。通常认 为股市泡沫有理性与非理性之分，理性泡沫是维持市场流动性的必需品，非理性泡沫 则是过度投机和市场狂热形成的恶性价格膨胀。股市泡沫的水平与性质对股票市场乃 至整个国民经济的健康发展存在重大影响。因此，有必要对我国股市的状况进行研究， 并针对其成因寻求相应的对策，以达到控制股市泡沫水平防范非理性泡沫的目的。 本文从泡沫的本质特征对理性泡沫与非理性泡沫进行了概念上的界定，利用理性 预期理论和金融噪声理论系统地解释了两种泡沫的生成机理。根据上证综合指数2000 年3 月6 日——2007 年3 月8 日和深证综合指数2000 年3 月6 日——2007 年3 月8 日的日数据样本，使用自回归方法以及泡沫系数检验出我国股票市场泡沫的水平与性 质。检验结果表明：我国股票市场长期存在泡沫，泡沫水平在2006 年尤为严重，且 已经超出了理性泡沫的范围，为投机性泡沫。 较高的股市泡沫尤其是非理性泡沫对我国股市存在重大危害，必须加以治理。本 文提出防范我国股市泡沫的几点政策建议，包括巩固加大股权分置改革成果，规范政 府行为，加强并改善市场监管，提高上市公司质量，大力发展机构投资者以及丰富金 融投资产品和工具。囿于学识水平，加上时间和精力有限，本文肯定有不少错漏以及 尚待商榷之处，敬请读者不吝赐教，同时也希望本文能给相关人士一点启示。 关键词：股票市场泡沫；理性泡沫；非理性泡沫；泡沫度量；泡沫检验；自回归 检验 I ABSTRACT Stock bubble refers to the economic phenomenon that the market price of a stock gets higher than its fundamental value after continual rises of prices. It is generally thought that stock bubble can be both rational and irrational. The former is a necessity for maintaining the mobility of market, while the latter is the abnormal inflation of price resulted from over-speculation and overheat market. The level and nature of stock bubble have great impact on the stock market and even the healthy development of the overall national economy. Therefore, it is necessary to do some research on the issue of stock bubble of the Chinese stock market and find suitable countermeasure to control the level of stock bubble and to avoid irrational bubble. This thesis distinguishes the concepts of rational and irrational bubble in terms of their essential characters, and explains systematically the generative mechanisms of the two kinds of bubble by using rational expectation theory and financial noise theory. By means of auto-regressive method and bubble coeffici