中国股市价格决定价机制的理性预期检验--基于股价现值红利模型的分析

The Price Determined Mechanism in China's Stock Market:A Rational Expectations Test——An Analysis Based on Stock Price Present Value Model

本文利用邹(Chow)的方法,基于现值模型,结合中国沪市红利指数日数据对中国股票市场预期的形成进行了检验。结果发现,较于理性预期而言,中国的股票市场预期具有更强的适应性预期性质。同时,在对比了邹的检验结果之后,我们发现相较于美国和中国香港地区的股票市场,中国股市的适应性预期影响更为明显,其在市场中的表现即为中国股市中"追涨杀跌"的投机性行为更多。

Using data on Shanghai stock market, we test an important implication of present value models, that current value is a linear function of the conditional expectations of the next - period value and the current determining variable. Combining with this implication with rational expectations （RE） and adaptive expectations （ AE）, it is found that RE is strongly rejected, meanwhile AE was accepted. As a conclusion, we support the Chow＇s views that the RE assumption should be used with caution;the AE assumption may be useful in econometric practice. And furthermore,we compare our result with Chow＇s two papers which survey the same problem with Standard ＆ Poor＇s Index and Hang Seng Index. It is found that the data from Shanghai stock market are more available with adaptive expectations, which could means specula- tor in Shanghai stock market might much more than other two markets.