基于理性预期的中国股市价格泡沫研究

Stock Price Bubbles Test Based on the Rational Prediction

针对经典股票价格泡沫模型的常利率假设进行推广,在随机利率下得到了股票价格泡沫的理论框架,并结合我国上证综合指数1997年10月31日到2007年10月23日的数据进行实证检验,结果表明1999年和2007年泡沫程度较为严重,尤其在后一个阶段,除上调印花税政策之外其他宏观经济政策均未对打压泡沫起到明显作用.

Based on the constant interest rate hypothesis of classic stock price bubble model, we add stochastic interest rate hypothesis to it, and reconstruct the theoretical model of stock price bubble. In this framework, empirically, we detect the existence of stock price bubbles of Shanghai-securities Index from October 31, 1997 to October 23, 2007. The result shows that the bubble is obvious in the year of 1999 and 2007, especially in 2007.