Research On Measurement And Formation Mechanism Of Stock Market Bubbles

The global stock market has been moving forward in the ups and downs,and once its stock price continues to deviate from its underlying value,it means the existence of a stock market bubble.The appropriate bubble may be beneficial to the economic development and increase the market activity,but once The bubble is expanding and eventually rupturing will have a huge impact on the economy.A series of stock market bubble events,such as the US stock market bubble and the Japanese stock market bubble,ultimately affect not only the economic situation of the countries concerned,but also the global economy.It is precisely because of the huge destructive power of the stock market bubble that it has always been a hot issue in academic circles,and the research on the stock market bubble is more focused on whether the bubble exists and how to measure it.Only by reasonably detecting the existence of foam and conducting relevant measures to study its mechanism of formation can we better understand bubbles,prevent dangers and make relevant policy recommendations.Therefore,the research on the bubble of the stock market is particularly practical.This paper attempts to test the existence mechanism of the five major international stock market bubbles in the United States,Britain,Japan,Hong Kong and China,and measure the degree of bubble to analyze its formation mechanism from the perspective of international comparison.Policy recommendations that are meaningful for market development.The specific chapters of this paper are as follows:The first chapter summarizes the relevant data from the perspectives of stock market bubble definition,existence test and measurement method through the domestic and international status of stock market bubble and related literature.The second chapter describes the definition and characteristics of the stock market bubble and classifies it to a certain extent.At the same time,it introduces the famous bubble incident in history,and learns from history to understand the harm of the bubble.The third chapter introduces the existence test methods of the stock market bubble one by one,including the variance test,the unit root test,the cointegration test and the duration test,and introduces the binary tree test and statistics that have appeared in the past two years.After the test,the unit root test is selected as the test method for the existence of the stock market bubble in this paper.The fourth chapter introduces the three most common stock market bubble measurement methods,such as dividend discount method,index method and F-O model,and selects F-O model as the bubble measurement method by analyzing its advantages and disadvantages.The fifth chapter is an empirical study of the existence and testing of bubbles in the United States,Britain,Japan,Hong Kong and China.First,the ADF test is used to pre-test the bubble situation of the five markets from the 2009 to 2018 stock market.It is found that there are widespread bubbles in the five stock markets.Secondly,the GSADF model is used again to conduct an in-depth bubble existence test.There are multiple bubbles in the five stock markets.Finally,using the F-O model to calculate and compare the 10-year bubble degree of the five stock markets,it is found that the five major international stock markets have certain convergence in the change of the bubble level,which is generally presented from 2009 to 2012.Negative bubbles,starting in 2013,the boundaries of different markets began.In 2014-2017,the majority of the five-year market was a positive bubble,while 2018 generally began to move toward the negative bubble.However,the specific degree of bubble is quite different.The mature stock markets in developed countries such as the United States and the United Kingdom are significantly less volatile than the emerging stock markets in developing countries such as mainland China.In the sixth chapter,through the in-depth analysis of the bubble degree of five stock markets,the paper analyzes the formation mechanism of stock market bubble from both international and domestic perspectives and draws lessons from experience to propose policy recommendations for the healthy development of China’s stock market.The policy recommendations include improving the structure of China’s capital market;strengthening the supervision and information disclosure system of listed companies;strengthening investor education and reasonable investor structure;and the government plays an active guiding role.