股市泡沫的多区制特征及溢出效应研究——来自中国A、B、H股的证据

Study on the Multi-regime Characteristics and the Spillover Effect of Stock Market Bubbles: Evidence from China's Stock Market

本文基于单位根右侧ADF泡沫检验方法(BSADF)来对中国各层次股市(沪深A、B股、恒生H股)泡沫进行动态监测,进而采用马尔科夫区制转换向量自回归模型(MS-VAR)来分析各层次股市泡沫间在不同区制下的溢出效应和脉冲响应特征。研究结果表明:在整个时期内,A、B、H股指均出现了多次周期性泡沫,且差异明显:五种股指均在2006—2007年和2015年出现较为严重的周期性泡沫;除此以外,恒生H股和沪深B股还在1997年、2000—2001年出现严重泡沫。各层次股市泡沫演化过程中均呈现出三种区制(负泡沫、潜伏泡沫和膨胀泡沫),且泡沫波动率与严重程度成正比。各层次股市泡沫均存在显著的"自我增强"特征,相互之间存在非对称的溢出效应;各层次股市泡沫的脉冲响应效应随着所处区制的变化而变化。

This paper conducts an empirical study on price bubbles in A, B and H stock markets in Chinabased on backward sup ADF（BSADF） test method. We then analyze the spillover effect and impulse responsecharacteristics of price bubbles among A, B and H stock markets based on Markov-Switching Vector Auto（MSVAR）regression model. Our result shows that there were many periodic bubbles in the A, B and H stock indexesduring the whole period, and there weresignificant differences in these bubbles. The five stock indexes all had moreserious cyclical bubbles in 2006-2007 and 2015. In addition, Hang Seng H shares and Shanghai and ShenzhenB shares also experienced serious bubbles in 1997 and 2000-2001. There are three regimes （negative bubble,latent bubble and expansion bubble）, and the bubble volatility is directly proportional to the severity. There aresignificant ＂self-enhancement＂ characteristics in the stock market bubbles at all levels, and there are asymmetricspillover effects between them. The impulse response effect of stock market bubbles at all levels changes with thechange of the bubble regimes.