股市泡沫检验研究综述及实证分析

Review on Studies of Examining Security Market Bubbles

本文实证检验了上证综合指数和深证成份指数数据样本的泡沫水平,并利用单位根检验方法进一步对泡沫序列进行了分析,结论主要有:我国股票市场长期存在泡沫,多数时期泡沫水平都比较高,尤其在股指上升时,泡沫水平通常随之上升,可见泡沫对股市上涨的推动作用明显。而从2005年开始到2007年10月的股市新一轮上涨中,股市的泡沫成分也是空前规模存在的。我国股市泡沫总体上属于理性泡沫,但局部的非理性泡沫时有发生,而在股指快速上涨时,非理性泡沫最为严重。

In this paper, empirical testing of the Shanghai Composite Index and the Shenzhen component index data on a sample of the level bubble, and the use of unit root test on the bubble to further sequence analysis, the main conclusions are： the long-standing Chinese stock market bubble, bubble period, most of the level of comparison High, particularly in the stock price to rise, the level of the bubble is usually followed up, the stock market bubble can be seen rising role in promoting the obvious. From 2005 to October 2007 stock market a new round of the unprecedented rise in the stock market bubble is the existence of an unprecedented scale. Chinese stock market bubble belongs to the whole rational bubble, but local non-rational bubbles occur from time to time, and the rapid rise in the index, irrational bubbles in general the most serious.