我国股市泡沫的实证分析

An Empirical Analysis of Bubbles in China’s Stock Market

股市泡沫是股票价格持续上涨导致其市场价格高于基础价值的经济现象。本文通过使用自回归方法、单位根方法检验了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,泡沫水平在近两年虽然有所下降,但依然较高;泡沫水平通常随着股价指数的上涨而上升。

Stock bubble refers to the economic phenomenon that the market price of a stock gets higher than its basic value after continual rises of prices. By means of auto-regressive method and unit root method, the thesis examines the level and nature of bubbles in China’s stock market. The result shows that there has been a long existence of bubble in China’s stock market and that though the level of bubble declined in recent years, it remains at a high level. It also shows that the level of bubble rises with the rises of stock price index.