基于TAR模型的中国股市价格泡沫检验

Stock Price Bubbles Test Based On TAR Model

本文对经典股票价格泡沫模型的常利率假设进行了推广,在随机利率下得到了股票价格泡沫周期性破灭的理论框架。然后在此框架下使用TAR模型对我国上证综合指数1997年10月31日到2007年10月31日的泡沫情况进行了检验,结果表明其泡沫主要集中在1999年和2007年两个年份,尤其在2007年1月到5月底泡沫程度最为严重。最后,通过分析深证指数同期的泡沫情况验证了两市泡沫的联动性。

In this paper,we extend the constant interest rate hypothesis of the classic stock price model, and set up the theoretical framework of periodically collapsing stock price bubble. Within this framework,using the nonlinear Threshold Autoregressive （TAR）economet ric model,we test bubbles of Shanghai-securities Index between 31 st,October 1997 and 31st,October 2007.The result shows that the bubbles mainly appear in 1999 and 2007, especially serious during the early 2007 to May. Meanwhile, bubbles of Shenzhen-securities Index of the same period are studied to validate the co-movement of the two stock markets in China.