中國大陸股市非理性繁榮實證研究

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Title:	中國大陸股市非理性繁榮實證研究
Other Titles:	The irrational exuberance in China
Authors:	陳政亮;Chen, Zhen-liang
Contributors:	淡江大學中國大陸研究所碩士班李志強;Li, Chi-keung
Keywords:	泡沫化;非理性泡沫;現值模型;基要價值;單根檢定;落後期數;實質股利;實質股價指數;bubblelize;irrational bubbles;present value;fundamental value;Unit root test;lag;essential dividend;essential price index
Date:	2008
Issue Date:	2010-01-10 23:32:54 (UTC+8)
Abstract:	中國大陸自改革開放後一直到近幾年出現股市過熱現象，許多學者針對價格超出市場基要價值的部分提出各種解釋及檢定方式，他們發現導致市場價格背離市場基要價值的因素之一為投機泡沫的存在。在本文中只針對股票市場是否泡沫化市做實證分析。因此本文以現值模型為基礎，透過Compell and Shiller 所定義之市場基值解，估計出不可觀察之泡沫變數的值，並用以檢驗中國大陸股票市場是否因隱含泡沫現象而導致股價偏離市場基要價值。由實證結果得知，中國大陸於2002~2007年泡沫存續期間，共出現兩次非理性泡沫現象，泡沫是在2003年開始形成，在2004年後泡沫形成過程中雖有向下修正的現象，這可解釋成宏觀調控的奏效，但政府的干預始終無法對抗外資不斷湧入的力量，因此在2006年之後，泡沫又然持續地產生，甚至在2006年下半年股市泡沫程度驟升，顯示投資者非理性行為導致股價指數超出其基本價值。故2007年市場出現一連串的向下修正，其主要的原因是因為市場股價嚴重偏離市場基要，外資法人和中國投資法人對於股市轉向保守，而資訊不足者和非理性的投資者仍持續地投資，導致泡沫破裂時，成為了股市中的受害者。直到2008年上半年為止，上證指數從五千多點下降至兩千七百多點，跌幅甚深。但值得注意的是，雖然驟降如此快速，會不會如台灣在1987年後，股市大跌後，又因投資者非理性行為，使之快速回升，是另一個需要探討之課題。由實證結果來看，近年來中國大陸的確如葛林斯潘所述，已有非理性繁榮之跡象。 Mainland China stock market overheat after innovating till these years.Many academics provided many sorts of explains or test for the part which market price exceed fundamental value, they found one reason of it is the exit of speculative bubbles. In this paper, we only test this stock market which is bubblelized or not. Present value model is a fundamental stone in this paper, we use the market fundamental value solution that Compell and Shiller defined to estimate the invisible value of bubbles and test the mainland China stock market imply bubbles or not so that make stock price diverge from market fundamental value. According to the result, in the duration of bubbles during 2002~2007 in China,it appears two irrational bubbles. The bubble appear in 2003,and declining in 2004.It because the macro-control works. But the interference of government cannot against the power of hot money at all so that the bubbles appear again after 2006,and arose suddenly even in the last semi-year 2006,it means the irrational act of investors will effect stock price over fundamental value. So we can explain the decline of stock market price in 2007 is because that some investors'' attitude for investing turn to safer, but some non-informational investors still invest something, till the bubbles broken, they will become sufferers. For the final, as Green Spain said, we can see that mainland China stock market does have the trace of irrational exuberance resent years.
Appears in Collections:	[Graduate Institute of China Studies] Thesis

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