基于三分状态MDL方法度量我国股市泡沫

Testing Stock Market Bubbles in China by Means of the Three States MDL Method

通过改进的三分状态MDL(最小描述长度)方法,在马尔科夫模型下,对我国1991年4月3日～2008年9月23日的上证指数和深证成份指数的价格泡沫情况进行了分析,研究发现,略去考虑我国股市在建立初期的异常波动外,其泡沫主要集中于1996年3月～1997年5月,2000年以及2006年6月～2007年9月之间,且最后一个时段泡沫情况最为严重.

By means of the improved minimum descriptive length principle,this paper analyses the stock price bubbles of Shanghai composite index and Shenzhen stock exchange component index from Apr 3^（rd）,1991 to Sep 23rd,2008 under the Markov model classes.The result reveals that,taking no account of the anomalous undulation on the China stock market at the setting up period,the bubbles mainly centered during three periods,from March,1996 to May,1997,all year of 2000,and from June,2006 to September,2007,especially during the last period.