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。

Expansion and collapsing of Chinese stock market speculative Bubble: an application of regime-switch model

This paper describes an expansion and partially collapsing process of speculative bubble in Chinese stock market by using a regime switch model to study the non-linear relationship of return and turnover. Result shows that there exists partially collapsing speculative bubble in the Chinese stock market. Out of sample and in sample estimators of crash probability can make a fine prediction of extreme losses in history data, which indicates the regime switch model has good forecasting ability, and partially collapsing speculative bubble is one of the reasons causing Chinese stock prices to collapse.