中国股市的理性泡沫

The Rational Bubbles in Chinese Stock Market

传统理论通常把证券市场的泡沫与投资者的非理性行为混为一谈。近期的研究却表明在一个完全理性的市场中 ,泡沫依然可以出现。本文首先对我国证券市场存在理性泡沫的可能性提出多种理论解释 ,认为下列原因导致了我国证券市场泡沫的存在 :( 1 )上市审批制 ;( 2 )可供投资的证券种类少 ;( 3 )政府的托市行为 ;( 4)卖空机制的缺乏 ;( 5)套利机制缺乏有效性 ;( 6)上市公司很少分红 ,投资者买卖股票只是为了获得买卖差价。其次 ,我们通过分析所得的结果 ,提出应对理性泡沫的政策措施。

We study in this article the existence of bubbles in China's stock market. We argue that the bubbles in this market could be rational and that the following factors might have contributed to the existence of the rational bubbles in asset prices: (1) The strict rules imposed on stock listing; (2) The lack of choices of financial instruments available to investors; (3) The interference of China's government to asset prices; (4) The non existence of short-sale mechanism; (5) The inefficiency of arbitrage mechanism; and (6) Low dividend payments to shareholders of China's public companies. Based on our analyses, we make several recommendations on dealing with the bubbles in asset prices.