我国股市泡沫现状及对策分析

股市泡沫是股票价格持续上涨导致其市场价格高于基础价值的经济现象。泡沫经济影响了国民经济的平衡运行。而且到了后期，泡沫的膨胀和破裂对经济发展的危害也是很大的。本文通过使用市盈率方法、动态自回归法、单位根方法检验了我国近两年来股票市场泡沫的水平与性质。检验结果表明我国股票市场存在泡沫。本文同时对股市泡沫产生的原因进行了分析，并提出了相关对策建议。     

为中国股市崩盘未雨绸缪

过去两年，中国股市大幅上扬制造了一个典型的资产泡沫。由于中国国内通胀不断加剧和全球经济放缓，中国股市将在不久的将来崩盘的几率最近有所加大。中国股市已开始调整，主要股指已从高位下跌15％。然而，目前中国股价水平接近1989年日本股市崩盘前日经指数（Nikkei）的水平，这一点令人感到担忧，中国股市将不得不进一步大幅下跌，才能达到合理的估值水平。     

2500点后，股市继续运行在上升通道

到4月底的时候,回眸一下股市,人们发现这个在年初还不被看好的市场,居然已经连续上涨了4个月,这是2007年10月份以来所没有过的。在这4个月中,沪市综合指数上涨了36．07％,深市成份指数更是上涨了46．52％。若就时下两市股指的具体点位来说,基本已经超过了去年年底时各大证券研究机构对今年股指运行最高点的预测。而有意思的还在于,虽然股市已经有了超出人们预期的上涨,但目前仍然没有出现明显的头部特征,行情似乎依然还有不小的上行潜力。     

如何看待中国股票市场

自2006年上半年以来，中国股票市场开始了一轮波澜壮阔的大牛市。而后，便出现了关于中国股市泡沫的争论。指出中国股市存在严重泡沫的有中国的政府官员、经济学家，也有海外金融机构的高级管理人员。他们的主要依据是：（1）中国股市在短期中已经大幅度上涨。即上证综合指数从2005年末的1161点，上涨到2006年末的2675点，大盘上涨了1．3倍；深圳成份指数从2005年末的2863点，上涨到2006年末的6647点，大盘上涨了1.32倍。     

大盘是否跌过了头

中国股市 真的山穷水尽了? 回顾刚刚走过的2004年,全球股市 综盒指数在2003年33％的涨幅基础上又 取得了12％的升幅,美国道琼斯指数较 年初上涨4.3％,标准普尔指数上涨9.5％, 纳斯达克指数上涨8.5％;伦敦金融时报 指数涨幅为9％;法国巴黎CAC-40指数 涨幅为9.43％;德国法兰克福XETRA DAX 指数涨幅为9.8％;新加坡股市跃升 16％;香港股市上升12％;韩国汉城股市 上升8％;日本东京股市上升5％;台湾地 区股市上升近2％。但是,中国股市的 境况却大大不同,上证综指下跌了 16％,不算增发的新股,仅沪市的股民 全年就损失了1500亿,相当于2003年 国民生产总值的1.4％！一面是中国经 济以9％的高速度在增长,而另外一面 却几乎是一根巨阴的年K线,股指击穿5 年半以来的低点,这种宏观经济和股指 的完全脱节令人倍感惊讶。     

我国股市泡沫状态分析

正确分析当前中国股市的估值水平及泡沫程度,对促进我国股市的健康平稳发展具有重大的现实意义。本文通过对海外市盈率的比较分析,认为我国目前股市市盈率还处于安全区域,静态市盈率短期还会上涨。市场现在的确存在泡沫,但是结构性泡沫,从结构性泡沫到出现全面泡沫,市场可能还有相当一段距离,A股市场第三季度将走向调整。中国股市在未来一段时期内,仍将会以比较高的速率上涨。     

论股指期货市场与股票现货市场的风险联动

各国股票市场的运行实践表明，股指期货推出初期经常会发生股市与期市的风险联动：即在一个缺乏做空机制来转移系统性风险的市场中，投资者只有做多才能获利，因此股票价格经常被推高至脱离基本面的支持，而股指期货的推出使做空也有机会获利，所以会导致股市泡沫的破灭。由于股指期货的价格发现功能，无论冲击来自现货市场还是期货市场，率先进行反应的是期货指数，此时，套利者利用可观基差进行指数套利，导致卖压在股市与期市问传递，如果做市商无力平衡卖压，那么这种无弹性的指数套利会使风险积聚和扩散，形成股市与期市的风险联动。本文旨在分析瀑布效应的形成机理，防患于未然。     

经济随笔:股市大涨对世界经济是福是祸

随着金融危机阴影的逐渐消散,全球股市呈节节走高的态势。股市大涨对世界经济究竟是福是祸当然不能一概而论,既不能将股市升温一律看作泡沫乃至股灾的先兆,也不能简单地将不断攀高的股指视为雨后天晴的象征。不可否认,欧美股市特别是美国股市从去年秋天开始上涨并由此推动全球股市回升,在一定程度上增强了西欧、日本以及东南亚经济的活力。同时,股市上涨恢复了投资者和消费者的信心,反过来增强了金融市场的抵抗力。虽然年初巴西发生了比较严重的金融动荡,但没有引发国际金融市场的连锁波动。但是,纽约道一琼斯股指今年来迅速上涨并…     

中国须出重拳防范股市出现泡沫

【香港《信报》1月10日】中国股市已经进入直通泡沫轨道。若再不采取行动，股指将持续升至股市泡沫爆破，而升得愈高，日后将跌得愈痛。     

试论股市泡沫的形成机理及其统计测度

本文认为，资本市场的非有效性决定了股市泡沫形成的必然性；市场投机行为活跃程度的差异造成了股市理性泡沫和非理性泡沫的形成。本文评述了目前较为常见的测定股市泡沫的方法，同时对其中的若干方法进行了修正，提出了测定股市泡沫的新思路。     

Stock Market's Response to Real Output Shocks in China: A VARwAL Estimation

This paper studies the connection between the stock market and real output in China and compares it with benchmark countries, employing a novel vector autoregression with asymmetric leads (VARwAL) model. It makes two contributions. First, it finds that the time profile of the Chinese stock market's response to real output shocks suggests no evidence of a distorted relationship due to manipulation of Chinese real output data or domination of the Chinese stock market by individual investors. Rather, the Chinese stock market is relatively more responsive to real output, in line with the larger share of manufacturing in the Chinese economy. Electricity output and industrial profits, two different, less-manipulable time series, yield similar results. Second, it presents the first use of VARwAL impulse responses to detect stock market bubbles: VARwAL captures the 2015 bubble in China successfully. Over the full sample period, China's stock market appears to have been less prone to bubbles than the US stock market.     

The spirit of capitalism, stock market bubbles and output fluctuations

This paper presents a representative agent model in which stock market bubbles cause output fluctuations. Assuming that utility depends directly on wealth, we show that stock market bubbles arise if the marginal utility of wealth does not decline to zero as wealth goes to infinity. Bubbles can affect output positively or negative depending on whether the production function exhibits increasing or decreasing returns to scale. In sunspot equilibria, the bursting of a bubble is followed by a sharp decline in output one period later. Various numerical examples are given to illustrate the behavior of stochastic bubbles and the relationship between bubbles and output.     

中国股市投机泡沫的膨胀与破灭:机制转换模型的应用

本文运用机制转换模型研究收益率与换手率的非线性关系,以此描述中国股票市场投机泡沫的膨胀及部分破灭的演进过程。结果证明中国股票市场存在膨胀中会部分破灭的投机泡沫。市场大幅下跌概率的样本内、样本外估计值能较好预测历史数据中出现的最大实际损失,说明机制转换模型具有良好的预测能力;投机泡沫的部分破灭是导致中国股票市场价格大幅下跌的主要原因。     

影响中国国际资本流动的因素分析

本文结合中国资本流动的特点,加入证券市场价格及房地产价格水平两个变量实证分析了1982～2004年对我国国际资本流动的影响。结果表明对中国资本流动影响最显著的因素依次为利率、汇率、房地产价格指数和证券市场价格。     

信息可靠度、过度自信对股票市场的影响--基于实验经济学的研究

信息对股票市场的影响不仅取决于信息本身,还取决于个体投资者对信息的感知。文章基于实验经济学研究方法,构造实验室股票交易市场,引入不同可靠度的股评信息,观察个体过度自信水平,研究客观股评信息可靠度和主观过度自信对股票市场的交叉影响。研究结果表明相对于没有股评信息的控制组,高可靠度和低可靠度的股评信息实验组均表现出显著更低的市场价格泡沫,且股评信息可靠度越高,市场价格越趋近于理性水平;此外,市场交易活跃程度在有股评信息的组显著高于控制组,但高低可靠度两组的交易活跃程度并无显著差异。在引入过度自信和信息可靠度的交叉项后,文章发现仅在高可靠度的股评信息实验组中,过度自信表现出对泡沫和交易活跃程度显著的正向影响。这意味着高过度自信的个体更加倾向于相信自己的私人信息,而忽略外界高可靠度的信息,从而相对于理性情况而言,交易行为出现更大的偏差,产生更大的泡沫。     

Fundamentals and the volatility of real estate prices in China: A sequential modelling strategy

In a similar way to the stock market, the housing market in China has often been portrayed as highly speculative, giving rise to “bubble” concerns. Over the last decade, residential prices increased every year on average by double digits in Beijing or Shanghai. However many observers and researchers argue that fundamentals of the housing sector, both sector-specific and macroeconomic, may have been the driving force behind housing price volatility. While existing empirical work exclusively relies on the government housing prices which may suffer from the well-documented downward bias, this paper uses original high frequency unit price as well as transaction series for the residential resale housing markets of Beijing and Shanghai between January 2005 and December 2010 to test alternative hypotheses about housing prices volatility.We propose a sequential strategy in five steps integrating several techniques previously developed in a piecemeal and scattered way. First, we construct daily hedonic prices. Second, in order to search for the possible presence of bubbles on such high-frequency data, we propose using recently developed tests of an explosive root as an alternative to the unit root hypothesis. The third step is generated by the necessity of handling microstructure noise present at a daily frequency, thus filtering the raw data to extract a random walk component. The fourth step extracts a slowly changing monthly volatility component from the filtered daily hedonic real estate data. Finally, in so far as the presence of bubbles does not seem to characterize the residential housing market in major Chinese cities, such as Beijing and Shanghai, in a fifth step we show that fundamentals are able to explain slowly changing volatility, as well as transaction volumes in these first‐tier cities.     

试论房地产市场的过热与泡沫

近期房价过高已引起各个方面的关心和重视,由此引发了关于我国房地产市场是否存在过热和泡沫的问题的讨论,本文就此问题展开初步的讨论。文章从房地产市场的过热与泡沫问题的概念出发,在对我国房地产市场的“国房景气指数”、开发投资指标、商品房空置率指标和房价收入指标的基础上分析,我们可以得到我国房地产不存在房地产泡沫,但要警惕泡沫出现的结论。     

Bubble into reallocation: How bubbles improve capital allocation in China

This paper develops a theoretical framework to shed lights on the relations between the segmented financial market and the housing bubble in China. In our framework, capital misallocation across firms plays a central role. The segmented financial market causes discrimination against private enterprises and favoritism to state-owned firms. This biased financial system not only gives rise to capital misallocation across firms but also significantly pushes down the equilibrium interest rate in the formal financial market. The overly low interest rate in the formal financial market causes a rational bubble in a dynamically efficient economy. More importantly, the bubble improves capital allocation across firms by crowding out inefficient investment in the state-owned sector. Despite the role of improving capital allocation, bubbles may still reduce welfare by crowding out aggregate capital.     

Asset Price Bubbles: Existence,Persistence and Migration

Econometric tests are performed for the detection and migration of asset‐price bubbles in the housing, currency and stock markets of seven countries. This set of countries includes both developed and emerging economies that have good historical data on housing prices. Our empirical results suggest that this type of exuberant behaviour in prices occurs more frequently in the housing market than in the currency and stock markets. Additionally, we find significant evidence of bubble migration across markets within some of the studied countries.