投机泡沫的持续期依赖检验——以上证指数为样本

Duration Dependence Test of Speculative Bubbles:A Sample on Shanghai Securities Composite Index

中国的股票市场是否存在投机性,采用价格泡沫的检验方法是一种很有效的手段。文章使用了持续期依赖的方法,对上证综合指数进行了价格泡沫检验。数据结果显示,中国股票的市场存在着投机泡沫。在此后的敏感性检验中,考察了不同时期政策变动因素对投机性泡沫检验结果的影响。例如T+0和T+1的交收制度,涨跌停板限制,国有股减持和股权分置的预期等都会对泡沫检验的结果产生影响。不过这些假定是基于上市公司基本面分布是单峰的、对称的,如果这些假定偏离实际情况太远,则持续期依赖检验的可靠性会受到很大的影响。

A test on stock price bubbles is effective method to examine if there is some speculation in China＇s stock market. This paper employs the duration dependence method to implement the test on the sample of Shanghai Securities Composite Index. The result of the testing procedure indicates that there are some speculative bubbles in China＇s considered in the sensitivity analysis that follows. The policies such as T＋ 0 and T ＋ 1 delivery system, rising limit and limit down, reduce state＇s stake in listed companies and non-tradable shares reform, will affect the result of bubbles test. And the test is based on the assumptions that the distribution of fundament of listed companies is unimodal and symmetrical. The conclusion of the duration dependence test will be invalid if these assumptions go far away from reality.