股市泡沫演化机理实证研究及其对养老金入市的启示

An Empirical Study on the Evolving Mechanism of the Stock Market Bubble and its Enlightenment to Pension Market Entry

股市泡沫具有周期性演化的特征。一旦发生,其对金融、经济乃至社会将产生巨大影响和冲击。养老金制度是经济、社会、政治乃至金融领域高度聚焦的核心问题。在股票成为全球养老金资产配置主流类别的背景下,股票价格泡沫破裂会给养老金投资造成巨大损失。股票价格在长期主要取决于未来现金流折现所代表的内在价值,但是短期内则由供求双方基于对资产内在价值认知基础上的博弈行为形成。文章对源自人性中动物精神的情绪波动、流动性和价格波动之间的演化机理进行了实证研究。研究结果表明,养老金入市应通过多元化资产配置,实现战略性资产配置和战术性资产配置的有机结合,在有效进行风险管理的基础上获取持续稳健的回报。

A stock market bubble will have a huge impact on the financial, economic and society. The stock price mainly depends on the intrinsic value which is characterized by value after discounting future cash flows in the long term, but in the short term, the stock price is determined by supply and demand both sides together. Every order will bring the change of the cash flow. It has very close relationship with animal spirits in the human nature, which mainly characterized by instinct and impulse. It is the inner motive power of financial market volatility. On the basis of carefully absorbing foreign results about the stock market bubble, we studied a lot of errors in the financial markets, as well as their psychology, behavioral science behind them and the objective law of bubble evolution. By studying the mechanism of psychological and behavior factors of the financial market, we go beyond the traditional perspective of western stock market bubble research and we are able to guard against risk of stock market bubble forcefully.