A Positive Research On The Size Of China Stock Market Bubbles

The stock market system risk is nearly related to whether the stock price encircled its inner value. The difference in the price and its inner value is stock market bubbles. In the interest of China stock market system risk, China stock market bubbles should be researched on firstly.The keystone on China stock market bubble size research is how to calculate China stock market inner value. To calculate China stock market inner value, the basically model is the discount cash flow model. The model of discount cash flow is very mature in theory but it was little used in practical research. The cause is that is very difficult to predict the stock market future cash dividends and to choice the riskless interest rate reasonably. In the research on listed companies cash dividend policy and statistical analysis on cash dividend it was found that the increment series of the weighted average cash dividend is close to stationary series. In the basis of that, the autoregressive model, which is very mature in the theory of linear time series, was used for establishing the future cash dividend predicted model. Parameters were estimated by computer simulation. In the other hand, to estimate riskless interest rates, the meanings of riskless interest rate were studied firstly. The finance risks were reasonable divided into breach of faith risks, liquidity risks, purchase risks and interest rate risks. The meanings of riskless interest rate were established and the riskless interest rates base on annual bond. The term structure of riskless interest rates was established by the relationship between riskless interest rates and the terms of mature.After that, it is very easy to calculate China stock market inner value by discount cash flow model. The difference of the price of the circulating shocksand theirs inner value is the China stock market bubbles. The bubble coefficient is about 0.3 by calculating. The result is much different with other studies. To be considered the different of the time and the model, this difference is objective existence and the result is acceptable. At the end of this thesis, two important characters of China stock market bubbles were studied tentatively.