Study Of Stock Market Price Bubbles

The phenomena of stock price bubbles have a long history. Since the South Sea Crisis in Britain and the Mississippi bubbles in France in the 18^th century, the stock price bubbles have had tested stock markets in different countries for many times. Many people have been researching on stock price bubbles, but have not consented on the concept of bubbles. This thesis studies on the price bubbles of Chinese stock market, and the whole paper can be divided into four parts:For the first part of this thesis, it has a review of stock price bubbles in history, which has a far-reaching effect on stock markets, including the Mississippi bubbles in France, South Sea Bubbles in Britain, stock disaster of USA in 1929, that of Japan and Taiwan in the end of last century and the internet bubbles of USA, and it also makes a summary of situation of Chinese stock market price bubbles in different phases. Then it gives an introduction of definition and classification of bubble, summarizes the harmfulness of stock price bubbles. Finally, it summarizes research fruits that are related to this thesis. This part offers necessary background knowledge for later research.Based on former research fruits, the second part of this thesis established theoretical framework of stock price bubbles according to the requirement of demonstration, on the basis of which this thesis measures corresponding stock price bubbles, utilizing Markov Switching model and threshold autoregressive model.The third part analyzes the factors that influences stock price bubbles, then utilizes Markov vector autoregressive model and minimum descriptive length method to do research on real macro-economy development, stock markets in abroad and the influence of stock market effectiveness on stock price bubbles.Finally, this thesis proposes policy suggestions for preventing and dealing with stock price bubbles, based on the reality of Chinese stock market.