Analysis And Measurement Of Chinese Stock Market Bubble

From the end of 2014 to the first half of 2015, Chinese stock market experienced a long rising period, and then fell rapidly in June 2015. The volatility of the stock market was likely to be a complete process of generation, expansion and bursting about a bubble. The stock market(capital market) is the core of the modern market economy, and its prosperity and stability has an important influence on the development of the real economy. The formation and rapid burst of the stock market bubble will affect the normal function of capital market, and then affect consumption, investment in the real economy and stability of financial system. So it is very necessary to study the existence and size of bubbles in Chinese stock market.In the study of the stock market bubble, the paper first summarizes the concepts,related theories and research methods of the stock market bubble. On the basis of definition of bubble,the indexes including the speculative indexes、Tobin’s Q ratio and bubble coefficient are analyzed about its volatility characteristics of stock price, revealing the irrational speculation, judging whether the stock price changes deviates from listed companies’ net assets and the real economy growth. By comparing the correlation index with historical datas, it helps to determine whether the stock bubble exists. In measuring the bubble, residual income model is determined to estimate the stock intrinsic value through choosing major assets pricing methods, in order to draw conclusions about the deviation of the actual market price from intrinsic value, where the price size of a stock bubble. Under the premise of judgment of stock price bubble’s existence and measurement of the component size, various factors causing the stock market bubble was explored from the macro, meso and micro levels, to provide specific recommendations about preventing the stock market bubble to breed again.The practical significance of the study lies not only in confirming the presence of Chinese stock market bubble and revealing the overall condition of the operation of the market,but also absorbing lessons of bubble burst and providing some referenceas for Chinese capital market system designs and rational investment of investors,to protect the interests of small investors. It will also have a help for the regulatory authorities promptly to grasp the price of capital market, maintain the healthy operation of the capital market, curb excessive speculation in order to prevent and resolve the financial crisis triggered by the bubble, promote functions of the capital market and the stability of the financial system.