【作者】 卢时光；

【导师】 扈文秀；

【作者基本信息】 西安理工大学 ， 工商管理， 2003， 硕士

【摘要】 股市的系统风险与股票价格是否围绕其内在价值波动密切相关。股票的市场价格与其内在价值的差异就是我们常说的股市泡沫。为此，研究我国股市的系统风险就必须首先研究股市泡沫的大小。 研究中国股市泡沫大小的重点是计算中国股市的内在价值，而计算中国股市的内在价值首选模型是折现现金流模型。折现现金流模型在理论上已经非常成熟，但是在众多研究中却鲜有人采用。这是因为在合理预报股市未来现金股利大小和选择无风险利率时遇到了困难。在本文的研究中，通过对上市公司股利政策的研究和现金股利的统计分析发现，加权平均后的每股现金股利的增量序列可以被近似地看作平稳序列。在这个基础上，本文利用线性时间序列理论上十分成熟的自回归模型(AR)建立了未来现金股利的预报模型，并通过计算机模拟技术对参数进行了估算。另一方面，对于无风险利率的大小，本文从对风险的含义开始研究，把与我们相关的金融风险合理划分为违约风险、流动性风险、购买力风险和利率风险四大类，建立了无风险的合理内涵，确定以一年期国债利率为基准的无风险利率。并通过无风险利率与到期期限之间的函数关系来确定无风险利率的期限结构。 在完成上述工作后，利用折现现金流模型很容易得到我国股市内在价值的大小。中国股市泡沫是流通股的价格与其内在价值的差。本文计算出的泡沫系数在0.3左右，这与其它研究结果的结论存在较大的差异，但是考虑到研究时点和应用的模型不同，这种差异是客观存在的。本文的最后还对中国股市泡沫的两个重要性质进行了初步的研究。更多还原

【Abstract】 The stock market system risk is nearly related to whether the stock price encircled its inner value. The difference in the price and its inner value is stock market bubbles. In the interest of China stock market system risk, China stock market bubbles should be researched on firstly.The keystone on China stock market bubble size research is how to calculate China stock market inner value. To calculate China stock market inner value, the basically model is the discount cash flow model. The model of discount cash flow is very mature in theory but it was little used in practical research. The cause is that is very difficult to predict the stock market future cash dividends and to choice the riskless interest rate reasonably. In the research on listed companies cash dividend policy and statistical analysis on cash dividend it was found that the increment series of the weighted average cash dividend is close to stationary series. In the basis of that, the autoregressive model, which is very mature in the theory of linear time series, was used for establishing the future cash dividend predicted model. Parameters were estimated by computer simulation. In the other hand, to estimate riskless interest rates, the meanings of riskless interest rate were studied firstly. The finance risks were reasonable divided into breach of faith risks, liquidity risks, purchase risks and interest rate risks. The meanings of riskless interest rate were established and the riskless interest rates base on annual bond. The term structure of riskless interest rates was established by the relationship between riskless interest rates and the terms of mature.After that, it is very easy to calculate China stock market inner value by discount cash flow model. The difference of the price of the circulating shocksand theirs inner value is the China stock market bubbles. The bubble coefficient is about 0.3 by calculating. The result is much different with other studies. To be considered the different of the time and the model, this difference is objective existence and the result is acceptable. At the end of this thesis, two important characters of China stock market bubbles were studied tentatively.更多还原