The Analysis On The Generation Mechanism Of Speculative Bubbles And The Empirical Study On Chinese Stock Markets

With the finance system reform being deepened and the scale of sock markets being expanded, the bubbles in Chinese stock markets are increasingly augmented. In the background of capital markets being increasingly disparked, the bubbles in the stock market would amplify the risk of market crashes and thresten the stability of Chinese finance system. So It is of great importance to illustrate the generation machanism of speculative bubbles, and make empirical sudies on detection of bubbles in Chinese stock markets.Firstly, the paper narrated the famous events of speculative bubbles and summed up the financil theory and empirical papers, then put forward the study methods and innovation of the paper.Secondly, the paper revealed the generation machanism of rational speculative bubbles and irrational speculative bubbles. In the illustration of rational speculative bubbles, the paper utillized the martingle theory to induce the pricing equation of rational bubbles., then divided rational bubbles into several classfications. In the illustration of irrational speculative bubbles, the paper illstrated the generation machanism of irrational speculative bubbles from information asymmetry and irration of traders which include "panics and manias", "fads" , noise trader model, positive feedback model, and herd behavior model.Thirdly, the paper introduced the precent empiricl test models, particularly revealed the thoughts of the empiricl test models, then illustrate the advantage and defect of these models. On the base of above sudies the paper adpopted two innovative methods to detect thespeculative bubbles in Chinese stock markets:On one hand, the paper adopted regime switching test which were proposed by Van Norden and Schaller (1993) to detect the speculative bubbles in the stock markets. The regime switching test being a direct test method which has a profoundly theory basis and a high efficiency. The writer adopted markov switching model which based on regime switching test to detect the periodically collapsing speculative bubbles in Chinese stock markets, then concluded that there existed periodically collapsing speculative bubbles in Shanghai and Shenzhen stock markets in last two years. The paper linked regime switching method with the Msvar model to detected the positive bubbles and negative bubbles in Chinese stock markets.On the other hand, the writer linked duration denpendence test with markov regime switching test to acquire the duration denpendence markov regime switching test model (DDMS) ,which has great advantages over the other simple test methods, then utillized the DDMS model to test the rational bubbles in Chinese stock markets. The paper concluded that there existed rational speculative bubbles in Shanghai and Shenzhen stock markets in the last year.Lastly, the writer associated the precent condition of Chinese stock markets with the behavior feature of traders in Chinese to analysis the reason why speculative bubbles generated in Chinese stock market, then proposed several suggestions to prevent from the risk of speculative bubbles, which included to amplify the scale of stock markets, to strengthen the supervision of inside trade and price manipulation, to strengthen the hedge machanism in stock markets, and to make the traders more rational.