| Stock price bubble is a situation in which the fluctuation of the stock price has exceeded the reasonable limits, and the fluctuation is irrational.The stock market bubble people generally understood is positive, that the stock price is higher than its actual value basis. Reasonable stock price bubble is characterized by prosperity, which can contribute to the sound development of the stock market and to promote the optimal allocation of resources. However, excessive stock price bubble will interfere with the normal operation of the stock market, and can't achieve a good allocation of capital market resources. The price bubble will burst when it accumulated to a certain extent. When the situation occurs, it will cause the price stock fells sharply and real economy downturn or even recession. Throughout the foreign stock markets, investors still has a lingering fear when thinking of the famous stock bubble collapse event. For our situation, in recent years, with the development and expansion of the capital market, which has become even more frequent fluctuations, and costs less time to conversion between cattle market and bear market. To help investors have a knowledge of price bubble and reduce economic losses, domestic and foreign scholars have begun to study the stock price bubble.Research on the stock price bubble originated in Western countries. Researchers proved the existence of price bubble and then start the application of mathematical models to test the extent of the price bubble. However, studies of foreign scholars generally draw conclusions with developed data which has a big differences with China, Domestic scholars mainly focus on existence and the influencing factors on the overall stock market price bubble, and little about the state of the sub-sector price bubble study.As the core of the financial institutions, bank is the lifeblood of our national economy. As the broader market heavyweight banking stocks, which have an important impact. During the period of 2006-2008 and 2014-2015, stock market index and bank stock index both have great fluctuations. Whether the bank shares in the above changes exist a bubble in the stock price and what extent the existence of price bubble in the above changes in the state? In general, investors determine whether stock valuations is reasonable based on price-earnings ratio. The higher the ratio, the stock price bubble is more likely to exist. Currently, investors generally believe that the low price-earnings ratio of bank shares indicate the stock price is reasonable, so there is no price bubble. However, there are many stock valuation model, it's irrational to judge the existence of price bubble of industry sector simply according to the earnings ratio.The paper begins with the study of bank stock price bubble, and then reviews the related research of domestic and foreign scholars. John. F. Muth (1961) first proposed a rational bubble theory, the theory is based on the efficient market and the hypothesis of rational man. The theory clarifies the reasons for the deviation from the intrinsic value of the asset price, and thinks that the deviation is normal and reasonable. However, since the market is not fully effective and not all investors are rational, subsequent scholars put forward irrational bubble theory. Scholars developed different mathematical models to study the stock price bubble, which have been used commonly are bubble coefficient method, Tobin Q estimation and earnings estimation. However, due to the variable are difficult to observe or there is a big difference between the hypothetical conditions and the actual situation, results determined by the above method of price bubble have some differences with the actual situation. In addition, the above method can only verifiy the past or the current state of the stock bubble, the future trend of the stock bubble can't be predicted.Zhao Peng, Zeng jianyun (2008), Meng qingbin (2008,2011)et al used Markon Regime Switching Model (MS) to study the relationship between the stock price and the intrinsic value determined by the macroeconomic variables, and they find the model can reflect China's stock market bubble levels at different prices each time period. By the model, we can have a more specific understanding about the probability of a bubble and foam-free probability on the movement of stock price bubble. Therefore, the paper take the model to study the state of the stock bubble of bank shares during the period from 2000 to 2015.According to Yin Xing-min, Xie Jie (2001), Lu Yu Duo and Wang Yu (2011) et al, the factors affecting the stock price index are the main macroeconomic developments and monetary policy. Therefore, we choose the value of industrial added value, money supply, CPI, interest rate and exchange rate as part of the base price of the stock index, choose the index of bank stocks as a proxy for the stock's price movements. Meanwhile, to ensure the analysis is consistent with the actual situation, the paper select A share index as a proxy for the overall stock market.Although the Markon Regime Switching Model for judging variants price bubble test has been used commonly, but the test results has't been proved correct completely, so the paper take GARCH-VAR model to calculate the index of banking stocks with the A-share index in the same period value at risk VaR. And then we use the part of actual share price greater than the portion bounded VaR to measure the stock bubble. Through the above method, bank stocks bubble status was judged, and the applicability of Markon Regime Switching Model was tested.Through a comprehensive analysis of the two models in the banking sector during the sample period of price bubble state, the paper draws the following conclusions:1, Markon Regime Switching Model can be more effectively when the stock price trend is obvious. This result shows that the method is suitable for relatively stable period in the market to predict the presence or absence of the bubble, and if when there are drastic changes in the market or "black swan" event, which predicted that the method may not be applicable when the bubble exists. The reason for this situation is that the MS method basic assumptions that the probability of the latter can only be decided by the probability of the previous period.2,Through the MS model and the GARCH-VaR testing, although banking stocks price-earnings ratio is low at present, but there are still individual state price bubble period. By MS model to calculate the probability of bank shares in the presence or absence of bubble state, found that the presence or absence of bubble state with the stability, low probability of mutual transition between states.3, The bank stock bubble is the cause of A shares price Bubble, indicating that as the weight plates, banks stock bubble has played a very important role in the formation of bubbles in stock.4, There are many overlap on the duration of stock price bubble about bank stock and A-share, but there are still some areas which is obviously different. Through the analysis of the data shows, bank stock index of continuous bubble duration is shorter than the A-share index continuous bubble duration.5, Although the vast majority of time, the bank stock bubble level is less than the level of A stock bubble level, but when the market is in the inverted period, bank stock bubble level is relatively higher than the A stock bubble level.6, The prediction error of banks index obey t distribution, while the prediction error A share index obey standard normal distribution, the empirical results show that the risk of bank stock index compared to the risk of A-share index has the "fat tail" feature.Through the above research, the paper argues that the bank shares may have a long-term investment value from the perspective of mvestment strategy. Generally speaking, the bank stock bubble level is lower than the A-share stock bubble level, and then, the bank stock has the advantage of relative valuation. During the stock market upward reversal period, banks stocks tend to have better performance, so investors can also invest bank stocks to get more capital gains income in a short-term. When the trend of stock market change is obvious, Regulators may also use MS model to predict whether the stock bubble is existed, or compare the difference in generation probability and burst probability through calculating the bubble state probability of various industries, and then make in real-time monitoring and adjustment. |
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