China A-stock Market Bubbles And The Measurement Study Of The Bubbles

The intensification of economic globalization renders the financial markets of many countries a lot of uncertainties.And that increases the frequency of the frequency of occurrence of the stock bubbles.If the expanding bubbles cannot be effectively confined, it will increase the macrofinancial risks of a country of region. Once the bubbles burst, it will inevitably affect the financial security and lead to the grave economy decline. Chinese stock market is still in its initial state, the high speculative and the bubbles obstacle the development of the market.To research the size of the stock market bubbles, ascertain the reasons for the formation of the bubbles and grasp their possible impacts on the economy, this is very important to reduce financial risks and safeguard financial security, prevent financial crises and maintain the health of the stock market and economic development.Since June 2005 to the end of 2008, the Chinese stock market had experienced the"roller coaster"prices change. The prices had skyrocketed from 998.23 point to 6124 point and then cascaded to 1820.81 point in two and a half years. Under the background of Chinese sustained economic growth and stable growth of profitability of listed companies, why did the generation, expansion and turbulent burst of bubbles of A stock market happen? What are their implications on the economy and financial markets? How to deal with? Chinese stock market has been established for a short time. Therefore it is a developing market and has more volatility than those developed markets. The prevention of the risk should be formed on the condition of the special reasons.Based on these questions, this thesis chooses the bubbles of A stock market as a research. And estimates the bubbles of A stock market by F-O model based on the data of 1997-2008.This thesis consists of six parts, which are briefly highlighted below:Part I is the introduction, which mainly deals with the special background of China's stock market, the practical significance of this paper, the research of bubbles of internal and external scholars.Part II summarizes the definitions of bubble and some relative notions. And give explanations about financial bubbles based on rational bubbles theory and crazy bubbles theory.Part III qualitatively researches the status of Chinese stock market. This section studies the severe concussion of the stock market over the past two years. And based on the comparison of bubbles between Japan, Taiwan and China, discusses the domestic and international factors which result in the formation, expansion and bursting of the stock market from 2005 to 2008.Part IV introduces several methods of estimating bubbles, focusing on the introduction of F-O model.Part V based on the data of 1997-2008, combined with the actual situation of Chinese stock market, estimates the bubbles of A stock market by F-O model, which based on book value and residual income. And comparatively analysis the extent and type of A stock market bubbles in recent years according to the measured results.Part VI mainly probes into the effect of stock market bubbles to the economy from the qualitative point.Part VII focuses on some policy suggestions on our present stock market, and the risk control of our financial market.