一种新的股市泡沫计量方法

针对我国股票市场股权改革和一级市场非市场化的特殊情况,本文提出把"整个"上市公司抽象成"一个"上市公司的假定,得到股市的理论收益率和实际收益率指标,根据这两个指标的动态变化关系,提出了一种新的股市泡沫计量方法.为了检验这一方法,本文计量了同期美国、日本股市泡沫的情况.实证结果显示新的计量方法能够很好地解释我国股市的泡沫情况.

A new measurement for estimating the bubbles in stock market

In view of the equity reform of the stock market in China and the features of non-marketization in the primary market, this article provides a hypothesis that a "single"listing company should be abstracted from the listing companies"as a whole". Based on the hypothesis, I get the indexes of the theoretical rate of return and the real rate of return in the stock market and put forward a new measurement for estimating the bubbles in the market according to the dynamic relationship between the two indexes. For testing this method, this article measures the bubbles in American and Japanese stock markets during the same periods. The empirical results show that new measurement gives good explanation to the bubbles in China's stock market.