资产价格泡沫——理论与实证研究

【作者】 张晓蓉；

【导师】 唐国兴；

【作者基本信息】 复旦大学 ， 管理科学与工程， 2005， 博士

【摘要】 本文从理论和实证两个角度研究资产价格泡沫,考察泡沫的生成机制、生成原因、检验与度量以及预防和对策等问题。 本文首先从资产价格泡沫的定义入手,指出人们普遍关注的“泡沫”有两类,一类是价格对价值长期的、大幅的偏离,另一类是价格出现脱离基本价值的急剧上升,这两类现象都是对有效市场假说的挑战。 接着,本文在对理性投机泡沫和非理性泡沫理论进行研究与评价的基础上,结合历史泡沫事件的原因和特点,提出了一个理性与非理性混合的正反馈模型,用以描述泡沫出现、发展和破裂的过程。研究表明,投资者的心理因素是泡沫生成与崩溃的内在条件,而市场机制和不适当的政府干预则是泡沫生成和崩溃的外在原因。 本文对理性投机泡沫的检验方法进行了详尽的比较和评价,认为泡沫检验和模型检验的联合假设问题和计量检验固有的小样本偏差是泡沫检验存在的主要问题。本文的研究表明了市场投机性指标也可帮助判别当前资产价格中是否隐含着泡沫。 本文采用游程持续期依赖的方法,检验了1992～2003年间沪深股市的理性投机泡沫,发现仅沪市在1997年前存在理性投机泡沫,且该结论对超常收益率和失效率函数等具有稳健性。投机性指标检验则表明,沪深两市在1999～2003年间的大幅涨跌也属于泡沫过程,证实非理性泡沫较理性投机泡沫更具现实的解释力。 本文还采用多种检验方法考察了1985年9月至2003年10月的日元汇率以及1999年1月至2003年10月间的欧元汇率中的理性投机泡沫。研究结果表明,尽管结论主要取决于各方法的势,但小样本偏差和联合假设也会产生影响。 最后,本文讨论了泡沫对宏观经济的影响,研究泡沫向泡沫经济的转换原理,并根据泡沫和泡沫经济生成的原理,提出了抑制投机、增强信息披露、控制信贷扩张等预防和治理措施。更多还原

【Abstract】 This paper studies the asset price bubbles from both the theoretical and empirical perspectives, and analyzes the mechanism of bubble’s formation, growth and burst, the factors that induce and enhance the bubble procedure, and the effective approaches of preventing bubbles and countermeasures when they do occur.Starting the research with bubble definition, this paper identifies two types of bubbles that are of much concern: the large and long-term deviation of prices from the fundamental values, and the price soaring not justified by the fundamentals. Both cases are disproof of market efficiency.The paper then makes a comprehensive study and appraisal of theories on rational speculative bubbles and irrational bubbles. Based on the research, this paper gives a hybrid positive feed back model that describes the startup, growing and the collapse of a bubble procedure, and analyzes how the procedure can be influenced by investors’ psychology, market characteristics and government intervention.On the empirical studies, this paper summarizes all the available approaches of econometric tests on rational bubbles, and gives a list of speculative indicators that accompany bubbles, which can be a supplementary in detecting bubbles.The paper has done two empirical tests. The first work tests bubbles in the China stock market, and finds that rational speculative bubbles only existed in SSE (Shanghai Stock Exchange) before 1997, and there was a bubble procedure both in SSE and SZSE during 1999-2003. The second work is the econometric tests in Yen and Euro exchange rates. The results have shown inconsistency among different test approaches, and require prudential interpretation.Finally, the paper discusses how asset price bubbles can evolve into a bubble economy, and presents some approaches of how to prevent bubble and bubble economy and how to treat them when they really happen.更多还原