China's Stock Market Bubble Theory And Empirical Research

In 1990, our country established the Shanghai Stock Exchang and the Shenzhen stock exchang one after another, from this time the open and direct financing way started to step into the historical arena in our country, China stock market which has had been developed for 15 years was doubted since it began. Preceded by such title as the speculative market , gambling market ,etc. by numerous personages, but these qualitative to the stock market mainly come from the violent fluctuation of price in the stock market. The excessive fluctuation of this kind of price is the external form of expression of bubbles from a certain meaning. Therefore, we can say the bubbles question has been with the development of security market of our country all the time. As a result,it is particularly urgent to study the bubbles problem in the stock market systematically.Though the theory about the stock bubbles abroad has been already very mature, the real diagnosis research is also thorough extremely, but it just was at the start stage in the bubbles research in our country. So the stock market price is determined the inflation of a bubbles once rising. Moreover because deeply grieved lesson of the historical bubbles event caused the results of over concentrates on the harm of the bubbles regarding the understanding and the research of the bubbles. It is disadvantageous to know and research the bubbles fuzzily in our country stock market in long term. In view of the fact that the above reason, with the aid of the bubbles theory which has had ,this article unifies the reality of our country stock market and adopts the method which the theoretical analysis and the real diagnosis analysis unifies to research our country stock market bubbles situation with system.The main content of is as follow:The first part (1st, 2 chapters) introdues the introduction and the literature summary. This part of content elaborates the research background and the motivation of this article, introducing this article's research method and the technical route. Then, it reviews systematically the front theory and the real diagnosis method related the bubbles research in the stock market, and it includes the domestic and foreign scholars' real diagnosis research results and the summary, the author also proposes the corresponding view aiming at the existing question of the bubbles research in our country stock market , this part establishs the solid theoretical foundation for us to research the bubbles .The second part (3rd, 4 chapters) includes the bubbles historical eventreview and the international comparison about confirming some daily indexes of the bubbles. This part of contents play a role in forming a connecting link mainly in this text , namely the consequence which the famous bubbles event and its produces through the history in further shows the bubbles was not only stock market's own problem, but also concerning the enterprise , investor , financial system and major problem of the entire macroeconomy especially . At the same time we analysed what kind of experience and lesson we can draw from these bubbles incidents. The major indicators' comparison from international perspective is to study the investment environment differences between china and the foreign stock market. These two chapters include a kind of vertical historical review and another comparison among the horizontal markets .It can draw reasons of economy and market that causes stock bubbles by comprehending the vertical review and horizontal comparison.Third part (5th, 6, 7, 8,chapters) includes the real diagnosis research about whether the stock market in our country do exist the bubbles .This article separately uses variance boundary bubbles examination, duration bubbles examination, GMM examination, VAR examination and so on and carries on the bubbles existence examination from the different aspects to our country stock market then the author unifies our bubbles examination with money supply, GDP, interest rate, as well as the inflation rate and so on the macroscopic economical variable. Argues to confirm the bubbles situation in our country's stock market from the multiple perspectives. The major reason to introduce these variables into our examination model is that the formation of the bubbles in the stock market is not merely the stock market's own movement. It also has the very big connection with the macroscopic economical movement condition. When we used these methods to carry out the bubbles examination, we confirmed the bubble problem of our country's stock market through rational anticipated examinations, the duration examination, coefficient examination based on GMM the orthogonal characteristic Wald .The fourth part (9 ,10chapters) mainly analysis bubbles cause and puts forward the corresponding policy proposal aiming at the special details in our country's stock market. Through the analysis, the author believed that, the reason which creates the bubbles phenomenon in our country's stock market is the moral risk which comes from government, enterprise and investment organization, the system reason which comes from the related issue and transaction ,certainly it also comes from the inherent flaw in our country monetary system, which causes our country stock market to become the large amount deposit to outlet, then it became a speculative market stimulated by the wealth effect . In addition, the multi- stockholder's rights structure in our country stock market creates a huge difference between the circulation market and the total market value, but whether existing bubbles concerned the whole market generally in the measuring market, this kind of difference causes the market price to surpass the foundation value. As a result of these questions' existences and the existing for a long time of bubbles of the stock market in our country , it is hard to control and compress effectively. According to this article, preventing the bubbles from being out of control and reduce the danger of bubbles. We put the monetary policy formulation should regard stock market price as one of the goals of regulation and control in monetary policy. Second,the stock market supervision department of our country should have high independence and avoid undertaking excessive responsibilities.Third,formulate and perfect related laws and regulation. In addition, the solutions of the stockholder's rights minute sets, the strengthened Corporate governance, and strengthening information disclosure and avoiding the information excessively equilibrium and so on are the effective methods to controls the bubbles. This article has carried out the following innovations in the research process: First ,the author examined whether has the bubbles in stock market in our country from different aspects by using many kinds of methods and angles. It is the first time to examine in its integrity and systematic characteristic in domestic.Second, it is also the first time to take the quantitative investigation on the economic influence between the stock market and the macroeconomy from bubble perspective. It is different from domestic research which only studied the two relations , while didn't study whether in the stock market has bubbles in the economic environment of our country. In this article ,we take the bubbles to the macroscopic economical influence as the research object, which will provide the management with some references in and implying the relevant policies .Last, this article uses VAR and GMM analysis method when we researched the relations between the bubbles and the macroeconomic variable relations. These research techniques effectively unify the macroeconomic variable and the stock market bubbles. On the one hand, it examined whether the bubbles exist under the definite macroeconomic environment. On the other hand ,it also examined whether the bubble has impact on the macroeconomy as well as its way.