Research On The Inspection And Measurement Of Bubble In Stock Market Of China

From China’s stock market has been established, we find that stock index often presents thelarge fluctuation state. Stock index volatility often from the real economy means the generation ofbubbles. There are different views in the market about the existence of the stock market bubbles,the level and type of bubbles, how the government for prevention and control of the stock marketbubbles and other issues. While the stock market as an integral part of a country’s capital market,the healthy and stable development of it will affect the development of entire capital market andthe macro economy of a country. So it is necessary to use the scientific method to study the stockmarket bubbles. This is the starting point of this thesis.（1）Based on the research on domestic and foreign related literatures about the stock bubbles.This thesis made a summary of results of theoretical research and empirical analysis of the stockmarket bubble method and found that the study about the inspection and measurement of bubble inChinese stock market is not much. Therefore, the study of this issue is of practical value.（2）After summarize and compare the general method of bubble test I select the unit roottest to test the existence of rational bubbles and found that on the basis of the existence of rationalbubbles, Intrinsic bubbles model can be used to test for intrinsic bubbles.（3）After do several reasonable tests on several assumptions in the model I found that theintrinsic bubbles model is a better model fit for the reality. It can explain the long-term change onstock price. So this thesis used the internal bubble model test for the presence of the internalbubbles and further examine whether the bubble containing irrational composition. Resultsshowed that intrinsic bubbles exist in the stock market during the period from2007to2012andhave irrational characteristics in some period.（4）Compare the general model of rational bubbles measurement. Found that surplus incomemodel in theory is more reasonable and has high practicality in empirical aspect. But consideringthat Chinese stock market split share structure for many years. This thesis improves on the basis ofthe original model. Then use the improved model to measure China stock market bubble in2003to2012.Found that China stock market has positive rational bubbles in2007to2012.（5）according to the stock market bubbles from the perspective of the intrinsic value ofmeasurability, rational game and stock market internationalization explain the reasons bubblesproduced and put forward the measures of prevention and control of bubble.