摘要
根据Van Norden和Schaller的周期性破灭型投机泡沫模型,本文建立了一个马尔可夫区制转换模型对我国沪市周期性破灭型投机泡沫的存在性问题进行实证研究。结果表明,上证综合指数月度超额收益率的变化可以明确划分为泡沫生存和泡沫破灭两个状态,且沪市投机泡沫特征显著符合周期性破灭型投机泡沫模型。在此基础上,本文提出了相应的政策建议。
In the paper, the authors build a Markov regime-switching model based on VNS model to study the speculative bubbles in Chinese stock markets. With the studying of monthly data of Shanghai stock market, the paper finds that the monthly return generation processes of Shanghai stock index can be obviously divided into two states, namely, bubbles survival state and bubbles collapse states. The empirical result of Shanghai and Shenzhen stock market correspond to the VNS model. So the conclusion is that there exists periodically collap- sing bubbles in Shanghai stock markets and propose several suggestions.
出处
《金融研究》
CSSCI
北大核心
2008年第4期174-187,共14页
Journal of Financial Research
