摘要
从理性泡沫的一般理论模型出发,主要采用久期依赖法(duration dependence)对上证综合指数进行了理性泡沫的实证检验,并用观察性证据(anecdotal evidence)进行了验证。研究发现,中国股市的各种特征很符合理性泡沫模型的推论,支持了中国股市理性泡沫的存在性。而中国股市理性泡沫的成因有其制度上的特殊性,这是由我国股市的特殊发展轨迹所决定的。
Based on the common theoretical model of rational bubbles, this paper employs duration dependence to investigate the existence of rational bubbles in China＇s stock market, then use the anecdotal evidence to validate its result. Encouraging empirical results are obtained and confirm the exist of rational bubbles. The results show that the characters of China＇s stock market accord with the deduces of rational bubble very much. The cause of rational bubbles in China＇s stock market has the system particularity, which is determined by the particular development of China＇s stock market.
出处
《湖南大学学报（社会科学版）》
2007年第5期62-67,共6页
Journal of Hunan University(Social Sciences)
基金
教育部人文社会科学规划基金项目(教社政司函[2005]217号)
关键词
理性泡沫
久期依赖
观察性证据
rational bubbles
duration dependence
anecdotal evidence
