基于MTAR模型的沪市周期性爆炸泡沫检验

Testing for Periodic Explosion Bubble of Shanghai Stock Market Based on MTAR Model

我国股市存在理性泡沫得到了普遍认同.但在现实市场中,股市不存在理性泡沫中的确定性泡沫、持续再生性泡沫、内在泡沫,对于外生泡沫的研究缺乏相关的模型,因此对周期性爆炸泡沫的检验尤为必要.采用非线性的MTAR模型对我国沪市周期性爆炸泡沫的存在性进行研究,研究结果显示,1991年1月至1996年12月期间沪市存在泡沫,而1997年1月至2004年12月泡沫成分消失,2005年1月至2009年12月沪市又出现泡沫成分,从而证实我国沪市存在周期性爆炸泡沫.

The existence of rational bubble in Chinese stock market is generally accepted. But in reality, the certainty bubble, continuous regeneration bubble and intrinsic bubble do not exist, with no related model on the studying the exogenous, so it is necessary to test the periodic explosive bubble. The nonlinear MTAR model is used to study the existence of periodic explosive bubble in shanghai stock market, research results show that bubble existed during January 1991 to December 1996, then it disappeared during January 1997 to December 2004 and appeared again during January 2005 to December 2009, so the existence of periodic explosive bubble in shanghai stock market is confirmed.