基于卡尔曼滤波的股市泡沫度量

The Measure of Stock Price Bubbles Based on Kalman Filter

提出了一种新的基于卡尔曼滤波的股市泡沫度量模型.该模型将股市泡沫和内在价值均视为不可观测变量,利用市盈率中含有的股票内在价值的信息和信贷量中所含有的股市泡沫信息,同时对股票市场的理性泡沫和内生泡沫进行估计.实证结果表明,我国股市泡沫在2001-06达到最大,随后开始减小;我国股市只存在理性泡沫,而不存在内生泡沫,这反映了我国股市的投机性较大;通过对股市泡沫破裂前后的对比分析表明,我国股市的实际投资价值正越来越明显.

This paper presented a new model to measure the stock price bubbles based on Kalman filter. The stock price bubbles and the fundamental value considered here are treated as unobserved variables. The model makes use of the information of stock price bubbles from credit loans and the information of fundamental value from price-earning ratio. The rational bubbles and the intrinsic bubbles are jointly estimated. The empirical evidence shows that the stock price bubbles in China reached its vertex in June 2001, and then diminished later. The evidence also shows that there only existed rational bubbles in China, and the intrinsic bubbles were not testified by the data, which indicates the characteristics of speculative behavior in Chinese stock market. Through the comparison between before and after the crash of the bubbles, the paper indicates that the real investment value is becoming more and more significant in Chinese stock market.