A Study On The Bubble State Of China's Stock Market

With the accelerated pace of financial integration in recent years,the consequences of the burst of asset bubbles are more influential and broader.Among them,the stock market is more frequent and more destructive than other markets,and may even induce a global financial crisis.In this context,it is necessary to make timely and accurate judgement on the change of stock market bubble state so as to take measures to prevent and curb the crisis triggered by the bubble burst in stock market effectively and effectively.This paper selects Shanghai Composite Index and hang seng index to study the stock market bubbles.Taking the stock index after the implementation of the policy of price limit and stop trading as the starting point,the data from January 1,1998 to December 31,2019 were selected.The bubbles were divided into different stages according to the Hurst index,and the empirical analysis and theoretical research were carried out one by one.This paper first introduces the theoretical basis and the adopted model,then explains and tests the valuation and characteristics of the stock market.Using P/E(TTM)ratio as valuation index to analyze the market volatility of the two markets;using JB test method to test the non normality of China's stock market;using Q statistical test and BDS test to test the non-linearity of China's stock market;using R/S method to test and calculate the fractal characteristics and statistics V of China's stock market,we get the non cycle days of China's stock market is [270,330].Then the R/S method is used to calculate the time series of Hurst index,and the market sentiment and index volatility are studied in sections.According to the calculation of V-statistics,the aperiodic cycle days of the stock market are taken,and the correlation coefficient matrix,mean value,standard deviation and variation coefficient of different time-varying Hurst indexes are comprehensively used for comparative analysis.Under the R/S method,the time-varying Hurst index under the n = 300 time window is used as the time-varying model of the Shanghai stock index;the time-varying Hurst index under the n = 330 time window is used as the time-varying model of the Hang Seng Index Number.Using the time-varying Hurst index under the R/S method to analyze the big market of Shanghai Composite Index in 2008 and 2015,and the big market of Hang Seng Index in 2007 and 2018.On the whole,it can give a more accurate trend analysis,which has certain interpretability and applicability.Based on the time varying Hurst index model,this paper analyzes the fluctuation of stock market index,and uses the LPPL model to study the change of stock market bubble state.Taking the fluctuation point of stock market as the basis of the window period fitting for the LPPL model,we judge the change of bubble state in the four big market periods of China's stock market.The results show that the stock market is in a positive bubble state at the beginning of the bubble burst,and when the bubble burst,the stock market is in a negative bubble state.After the bubble burst,the stock market bubble remained negative after a period of time,or began to switch between negative reverse bubbles and positive bubbles.Finally,this paper summarizes the research on stock market's mood fluctuation and bubble state,and puts forward relevant policy recommendations.