中国多层次股市泡沫测度——兼评资本市场改革措施的影响

An Empirical Research on Price Bubble in Chinese Stock Markets and Their Impact Factors——Comments on the Impact of Reform Measures in Chinese Capital Market

基于单位根右侧ADF泡沫检验方法(BSADF)对中国沪深主板市场、中小板市场、创业板市场的泡沫程度及其存续周期时点进行动态监测,进而全面挖掘股市泡沫的核心影响因素。研究结果表明:在整个时期内,各股市均出现多次周期性泡沫,沪深主板市场在2006—2007年出现了历时最长且较为严重的泡沫;中小板市场和创业板市场均在2015年上半年出现了较为严重的泡沫,但存续周期较短;国内股市泡沫具有显著的内在持续性,其走势与宏现经济走势背离。引入做空机制能显著押制股市泡沫;货币政策、美国利率水平、人民币汇率、沪港通机制均对股市泡沫产生显著影响,但影响方向不尽相同。

This paper make an empirical research on price bubble of different level stock market such as Shanghai and Shen- zhen motherboard market, Small Board and GEM market in Chinese based on backward sup ADF test method （BSADF）. On this basis, we analyze the key factors that influence these stock bubble. Our resuh shows that there are some significant bub- bles in each stock market in the entire period. There is some longest and most serious bubble in Shanghai and Shenzhen mother- board market in 2007. Small Board and GEM market show more serous bubble in the first half of 2015, but the survival period is shorter. Domestic stock bubble has significant inherent sustainability which is departure from the trends. The introduction of short - mechanism can significantly inhibit the stock market bubble. There are some important factor such as monetary policy, US Federal funds target rate, the RMB exchange rate, HongKong and Shanghai through mechanism play sig- nificant impact on the price bubble in Chinese stock market, but the effects were not identical.