摘要
本文采用久期依赖检验方法对我国近年来深圳股票市场理性泡沫进行了实证检验,得出我国深圳股市总体存在理性泡沫的检验结果。在此基础上,进一步采用协整理论,对深圳股市各行业板块的泡沫分布特征进行深入分析,得出房地产、运输、制造三大行业是导致深圳股票市场产生理性泡沫的主要原因的结论。
Using the method of Duration Dependence Test, the paper firstly makes empirical testing toward the present situation about Rational Bubble in Shenzhen Stock Market of China, and finds the result that there is a general Rational Bubble in Shenzhen Stock Market. On the basis of the conclusion, the paper adopts Coordination Theory to make a further analysis to the distribution characteristics of the Bubble in different industries of Shenzhen Stock Market, and draws the conclusion that three industries of real estate.transportation and manufacturing industry make contribution to the creation of rational bubbles in Shenzhen's Stock Market.
出处
《现代财经(天津财经大学学报)》
CSSCI
北大核心
2009年第3期52-56,60,共6页
Modern Finance and Economics:Journal of Tianjin University of Finance and Economics
关键词
股票市场
理性泡沫
久期依赖检验
协整
Stock Market
Rational Bubble
Duration Dependence Test
Co-- integration