The Study On Testing, Measuring And Controlling The Bubble Of China Stock Market

Financial asset bubble has always been one of the theory frontiers of contemporary economics field and also is one of the hot issues that people pay attention to. In the long river of human history, there are many famous events about asset price bubbles, including three most famous bubble events that happened in the 17th to the 18th century, they are tulip mania, south sea stock bubble and mississippi stock bubble, Argentina, Chile, Mexico, Japan in the 1980s and Thailand, Malaysia, Indonesia and South Korea in the 1990s, The outbreak of the financial assets bubble burst of these countries has brought many negative effects to their own economic, in august 2007, the outbreak of the U.S. subprime mortgage crisis give a heavy blow. to the global economy.With the rapid development of China's financial market, especially with the growing scale and the increasing openness of capital market, China's economy has also accumulated a growing number of financial asset bubbles. If the expanding bubble can not be timely and effectively eliminated, accelerated expansion of the financial asset bubble and even burst is bound to increase the risk of China's macro-financial and bring negative effects to China's economic development. Therefore, how to measure, prevent and defuse the risk of financial asset bubble, control financial bubble path becomes an important subject that government, financial regulators and economic researchers expect to resolve.In this thesis, stock is used as a representative of financial asset in the research, through research related to the bubble theory, a more accurate measure of the stock market bubble, in-depth understanding of the impact of bubble to the economic and put forward countermeasures that inhibit the expansion of stock market bubble.The basic structure of this paper consists of five parts:The first part is the introduction. This part firstly describes the research background and significance, then gives the standard definition of bubble, the accurate define of the concept of bubble and stock market bubble is the basic premise to the study of stock market bubble theory. Followed is the synthesis of the domestic and international research in this field, through an overall review,carding and evaluation of the related literature at home and abroad, systematically analysis and expound the present study situation,level and achievements of the stock market bubble theory, accumulate relevant theories and research methods, this lays theoretical and empirical foundation for the study. Finally is the basic research structure, innovation and inadequate of the paper.The second part is the stock market bubble theory. This part consists of the two small parts, the first part is the rational bubble theory, specific include the certainty bubble, continuous regeneration bubble, explosive bubble, periodic explosive bubble, intrinsic bubble and exogenous bubble; The second part is the theoretical model of non-rational bubble, specific includes noise traders model,positive feedback trading model, and fashion model. Through the description of the type of stock market bubble, it lays theoretical basis for the following test about which type of bubble exists in the China's stock market in the end.The third part is an overview of the stock market bubble Measurement. This part systematically describes methods of the testing and measurement of the stock market bubble, it consists of the two parts. The first part is the testing methods of the stock market bubble, consist of direct and indirect test, including variance bound test, run duration dependence, MTAR model, etc.;The second part is the measurement methods of stock market bubble, such as direct value estimation method, P/E ratio method, F-O model.The fourth part is the empirical study of the testing and measure of stock market bubble. This part uses Shanghai Composite Index and Shenzhen Component Index for the study, by the run duration dependence approach to test the existence of rational speculative bubble, the results showed that both the nominal return series and abnormal return series, both Shanghai Index and Shenzhen Component Index have rational speculative bubbles.In further studies, because the certainty rational bubble, continuous regeneration bubble does not exist in reality, this paper uses MTAR model to test whether there is periodic explosion bubble in Shanghai Stock Index, the results showed the existence of periodic explosion bubble in Shanghai Stock Market. Then F-O model is used to measure the bubble level,the result shows in addition to1995,2001,2002,2004 and 2008 these five years, there were varying degrees of speculative bubble in the other years, the speculative bubble is serious in 1993,2007 and 2000.The fifth part is the impact of the stock market bubble to the economy and the policy recommendations to control bubble. This section analyzes impact of the stock market bubble to the economy, including the positive and negative affect, and finally gives some specific policy recommendations for the effectively inhibition of stock market bubble, Specific include the accurate positioning function of government, to perfect the investors structure, to perfect the information disclosure system, to promote the financial system and financial tool innovation, to improve the quality of listed companies and enlarge the return to investors, to strengthen the stock price stability mechanism and the establishment of stock market risk early-warning system.