Chinese Stock Market Bubble Of Empirical Research

Asset bubble has been the theory frontier of the economists, which is also one of the biggest concerned questions nowadays since the prosperity of stock market. Assets bubbles refer to asset price bubble that can not be explained by fundamental factors such as cash flow and discount rate, etc. The asset bubbles have great impact on the real economic. It can be divided as rational bubbles and irrational bubbles. The rational bubbles are on the premise of investors' rational behavior and the rational expectation hypothesis, and the irrational bubbles can be ascribed to investors' irrational psychology, sentiment or behavior. It's of great importance to distinguish the rational bubbles and irrational bubbles.This dissertation executes some empirical analysis on the stock market of our country by two different methods respectively. The work and conclusions of this dissertation are as follows:First, the model, used to test bubbles in stock market, is based on the premise of feeble efficient market, so this dissertation will test the status of Chinese stock market efficiency first. This empirical analysis is based on the theory of Efficient market hypothesis (EMH), which is the classical theory concerned with securities market efficiency. The result shows that our stock market has reached the feeble efficient market.Second, by means of the ratio of market value and earnings, auto - regressive method and unit root method, the dissertation examines the level and nature of bubbles in China's stock market. The result shows that there has been a long existence of bubble in China's stock market. In spite of the quick rise of the price of the stock market index, the bubbles of China's stock market are still under control nowadays. This result is distinctly different from many popular viewpoints, and the possible reason has been discussed in the dissertation. The dissertation also demonstrates that the rational bubbles are the principal part of the bubbles in China's stock market, and that is, the bubbles exist, even when all of the investors are totally rational.Third, this dissertation gives some advices about the question of stock bubbles. It has realistic significance and reference value in terms of recognizing the level of bubbles and risks in China's stock market.