The Study On The Forming Cause And Empirical Analysis Of Stock Market Bubbles

From the theoretical and empirical viewpoint, the article studies the problem about the bubble of stock market, analyzes the factors resulting in the bubble of stock market, then the tests and measures the bubble of stock market in China.This article starts from the meaning of the bubble of financial market, summarizes and evaluates the existing literature about bubbles; the implication of financial bubbles, financial bubble is an economic phenomenon which one or a series of financial assets to market prices over a period of time substantially deviated from the basis of the value, The stock market bubble means the stock price goes substantially far away from its fundamental or theoretical value.From the analysis about forming factors of the bubble of stock market, it turns out to be that there exist many causes which lead to the bubbles. The institution of currency, credit and the Stock Exchange provide the condition for the forming of the bubble of stock market, while uncertainty of the stock market, information imperfection, the speculative psychology of participants and the flow of international capital help the bubble come into being, and aggregate the extent of the bubble.This article uses rational bubbles model to explain the forming mechanism of rational bubbles, and fashion model, noise traders'model to explain the forming mechanism of irrational bubbles. Then the article introduces variance bounds test, dynamic autoregressive test, and statistical test.As to empirical analysis, the article selects the method of statistical test, and test the speculative bubbles existing in Shanghai and Shenzhen stock market from 1993 to 2007,then finds that there exists speculative bubbles in stock market of China, which the condition was mere serious before the enforcement of Price Limit Rule. According to the daily sample data from the end of 1996-2007, which derive from Shanghai and Shenzhen stock markets, the article uses regressive test and smooth test to test to test the level and nature of stock market bubbles in China. The result demonstrates: the bubbles exist in China's stock market in the main form of rational bubbles, from the year of 2005 on the bubbles are extremely serious.The last part of the article measures the stock bubbles in China's stock market. The result indicated the data available of the quantity of trade, turnover ratio, and market value profit ratio and so on can be used as the direct indicates for measuring stock market bubbles. Speculative phenomenon is more serious in China's stock market than developed counties and other developing countries, essential measures should be taken to guide the inverters correctly, standardize information disclosure of listed companies and fight against market manipulation.