The Formation Mechanism And Empirical Analysis Of Stock Market Bubbles

The question about stock market bubbles is very significant in the theory field all the time. The stock market bubbles origin from the characteristics of fictitiousness and incompleteness in stock market. Theory field explained the stock market bubbles based on rational bubbles and irrational bubbles respectively. The former is on the premise of investors' rational behavior and the rational expectation hypothesis, and the latter deals with the question from investors' irrational psychology, sentiment or behavior. The irrational bubbles theory improves some strict prerequisites of the former and analyses the question more objectively and practically.This paper carries on theoretical research on the formation mechanism of bubbles from two angles mentioned above respectively, and executes some empirical analysis on the stock markets of our country. The work and conclusions of this paper are as follows:Firstly, this paper analyses the formation mechanism of rational bubbles, and tests the existence of rational bubbles in stock markets of Shanghai and Shenzhen of our country by means of the duration dependence test method. The empirical result indicates that there are rational bubbles in the stock markets of our country during the past years. And the rational bubbles in Shanghai market are significant relatively.Secondly, this paper studies noise traders' irrational behavior by extending the noise trader model, so as to explain the formation mechanism of irrational bubbles. By introducing fundamental value shocks into the noise trader model, and considering the underreaction and overreaction of noise traders, then evolving the model, this paper defines the component of irrational bubbles caused by noise traders. The analysis indicates that the irrational bubbles of assets are correlated with the noise traders' misperception and the degree of overreaction to the shock of fundamental value. Simulation analysis result indicates the proportion of noise trader influences the size of irrational bubbles under a certain condition in the market. Relaxing the assumption of the model, this paper considers...