The Research On The Existence Test And Measurement Of Bubbles In China's Stock Market

China's stock market has been going through ups and downs since founding.Stock price deviating from its intrinsic value means bubbles' formation.Whether there are bubbles in Chinese stock market,how can they be measured,how big they are.These questions make bubbles problem a hot issue among academia and the public.The Great Depressions,Japan's economic bubble,the NASDAQ Stock Market Bubbles,caused catastrophic impacts to a country and even the whole world.The impact of these burst was far from the carrying capacity of the economic system or the ability to absorb shocks,which caused the economy in trouble or even economic crisis.The stock market is a vital component of our multilayer capital market.The healthy development of stock market is of crucial importance for the entire capital market and the country's economy.Therefore,studying of Chinese stock market bubbles has significant theory as well as practice value.The main content of this article is as follows:(1)Based on the analysis of the stock market bubble literature research at home and abroad,and summarizes the definition,existence test as well as measure of stock market bubbles.(2)Few scholars pay attention to the negative bubbles.This paper will divide the stock market bubbles into bubbles and negative bubbles,and the definition is given.Then,further comb the theory of stock market and the general situation of China's stock market and generation mechanism.This paper argues that China's stock issuing and delisting system,imperfect supervision are the main cause of Chinese stock market bubbles.(3)Summarize and contrast the existence of bubbles existence method.Choose unit root test according to the circumstance of our market.Study on demonstration research by ADF test and GSADF model taking Shanghai composite index in 2007-2016 as samples on China's stock market bubble.The empirical results show that there were multi-bubble in 2007-2016.(4)Comparing the stock market' bubble measurement methods,find that the residual income model accords more with the objective conditions of the stock market,also more theoretical rationality.Using the improving F-O model to validate,found that there were three years—2011,2012,2013 contained rising negative bubbles.In the rest 7 years,there was bubbles.The two worst year were 2007 and 2015,58.45% and 58.45% respectively.(5)From the perspective of system and regulation,in combination with the practical situation and policy changes,suggest the following three terms of settlement: First,establish an early warning monitoring system for the stock market bubbles;Second,improve the company listing and delisting and the system of information disclosure;Third,pay attention to the education policy continuity and strengthen the education of investors.