中国股票市场市盈率的检验分析

市盈率高低是我国股市的关注焦点之一。本文在比较国外证券市场的市盈率之后认为我国的市盈率偏高。这种推测得到我们理论研究和模型结论的支持,我国股市市盈率由于系统风险的掩藏、股票初始发行价偏高和股市投机性等因素而呈现较高的倍数。从2004年我国股市市盈率开始下降,逐渐接近我们模型的估计值。此外,我们实证分析认为,市盈率的高低与GDP增长、股票收益波动和国有股比重等因素不存在严格的变动关系,市盈率呈现出一种随机游走的态势,市盈率不是稳定的区间值,而是一系列的动态的时间序列变量值。

Analysis of P/E Ratio in China's Stock Market

s:The P/E ratio in China's stock market is thought to be high compared with P/E in foreign security markets. This is due to the hidden system risk, high stock initial issue price and speculation in stock market, etc. However, the P/ E ratio of 2004 is edging closely to the estimated value of the model in the article. In addition, the article thinks increase in GDP, fluctuation of stock yield and state-owned stock proportion are irrelevant to the P/E ratio. The P/E ratio is a series of variable value.