基于内在泡沫模型的中国股市泡沫研究

Chinese Stock Market Bubbles Test Based on the Intrinsic Bubble Model

基于2005年到2010年上证红利指数和编制上证红利指数的50只成分股分红数据,使用内在泡沫模型以及ADF单位根检验对中国股票市场是否存在内在泡沫以及泡沫中是否含有非理性成分进行研究,结果发现,在2005年到2010年这6年的时间里,中国股市存在两个显著的泡沫期,分别是2006年7月到2008年2月和2009年2月到2009年12月,而且泡沫具有内在性的特征以及非理性的成分。

Based on the SSE Dividend Index and the dividend datum of 50 constituent stocks which established the SSE Dividend Index from 2005 to 2010 ,the paper uses the Intrinsic bubble model as well as ADF Unit root test to research whether there exists the intrinsic bubbles as well as the non-rational ingredient in the bubbles in Chinese stock market. The empirical results reveal that, in the following 6 years from 2005 to 2010, the bubbles significantly centered during two periods, from July 2006 to February 2010 and from February to December in 2009, and the bubbles had intrinsic characteristics and non-rational ingredients.