An Empirical Study On Chinese Stock Market Bubble

With the establishment of market economic system of socialism with Chinese characteristics, the Chinese stock market initially established in the1990s, however, there were constant attention and controversy by the domestic and international economic circles because of its unique socialist background, since the date of its birth. In the particular era, compared with the mature European and U.S. stock market, emerging Chinese stock market had plenty of deficiencies, but these did not affect the forward development of the Chinese stock market.As is well known, stock market is an integral part of one country’s capital market, its stable and healthy development is related to the whole capital market and the country’s economy whether smoothly, healthily and steadily develop or not. However, more than20years booming development, whether there is the stock market bubble or not, whether the bubble is rational or irrational, as well as whether the government should intervene on the stock market bubble or not, all of the controversies have never stopped, and the view of the stock market bubble is divergent. Therefore, for the stock market bubble, whether it is for the investors to avoid risks and maximize the investment income, or for the government to control the stock market bubble and prevent the financial crisis caused by stock market bubble, there is important practical significance.At first, we describe the research background and significance of this article, through domestic and international research literature on the stock market bubble we show the theoretical and empirical analysis of the stock market bubble, and then we summarize the latest theoretical and empirical research results, and thus obtain the empirical research methods.Secondly, we detail the definition of the bubble and the stock market bubble, further reveal the formation, the expansion and the burst of the general process of the stock market bubble, and list the basic characteristics of the stock market bubble in the normal circumstances, and then describe the development of twice stock market bubbles with deep impact nearly one hundred years, combined with the basic characteristics of the stock market bubble.Then, turn the perspective back to our stock market, from the Chinese stock market birth, we briefly introduce the Chinese stock market20years of development, and cite several apparent stock bubble periods, then empirically analyze the reasons of the Chinese stock market bubble in recent years.After that, we thoroughly detail the Intrinsic bubble model proposed by Froot and Obstfeld, based on the SSE Dividend Index and the dividend datum of50constituent stocks which established the SSE Dividend Index from2005to2011, we use the Intrinsic bubble model as well as ADF Unit root test to research whether to exist the intrinsic bubbles as well as whether to include the non-rational ingredient in the bubbles in Chinese stock market, and obtain the good empirical results.Finally, on the basis of descriptive statistics and empirical analysis, we give some suggestions for control the Chinese stock market bubble.