Measurement Of Chinese Stock Market Bubble Based On Production-Based Asset Pricing Theory

With more than 40 years of reform and opening up,China has become more and more closely connected with the world economy,and has gradually become the main active player in the world economic center from the former closed door development.In the past two decades,China's economy has maintained a strong momentum of growth.In 2019,China's GDP grew by 99 trillion yuan,with a year-on-year growth rate of 6.1%.In fact,the phenomenon of asset bubbles,represented by the stock market bubble,has occurred continuously in China,and the bubble burst has caused great damage to the domestic economy.Therefore,it is of great significance to analyze the emergence and accurate measurement of bubbles in the domestic stock market for preventing and controlling the collapse of the domestic stock market.There are two mainstream approaches to the study of bubbles in academia.The first one is to observe the emergence of bubbles by the historical dividend sequence observation of the intrinsic value of stocks and the statistical characteristics of bubbles.For example,the change of price variance is regarded as the existence of bubbles and the relative independence of price series and dividend sequences determines the existence of bubbles,but this method is often estimated by the use of the present value model.When the intrinsic value is relaxed and the intrinsic value can not be obtained,the accurate bubble sequence can not be observed.The second method is to measure the intrinsic value by separating the bubble with the standard stock pricing model.However,this method has the problem of model estimation error due to the unavailability of dividend data and discount factor in the future.The estimation of factors in the model is wrong.These two mainstream bubble measurement methods are all related to the inaccurate measurement of the intrinsic value of stocks.In order to solve this problem,two theoretical solutions are proposed: one is the capital asset pricing theory based on consumption(CCAPM)and the other is the PAPM based on production capital asset pricing theory.By comparing the two methods,we will study the measurement of China's stock market bubbles based on the production capital asset pricing theory.How to define bubbles? How to build a foam measurement model based on production capital asset pricing theory? The evolution track and formation mechanism of bubbles in China's stock market? This paper will discuss one by one.First of all,this paper defines the stock market bubble.The current definition of stock bubbles in the academic world is that the stock price deviates from its intrinsic value,and studies the positive bubble of stock price higher than the intrinsic value of stock.Secondly,this paper analyzes and compares the current bubble measurement methods.The current method is mainly the dividend discount idea,and the P / E method ignores the value of the growth opportunities of enterprises,and the high P / E ratio of the stock does not imply that the bubble components must be very high.The F-O model does not conform to the actual assumption that investors are making an indefinite forecast for the future.In general,the discount factor and the future cash flow data are difficult to observe when the intrinsic value of the stock is measured under the dividend discount idea.In order to solve the above problems,some scholars consider the use of the consumption capital asset pricing model to separate asset pricing bubbles,but this theory only examines the consumption of investors directly,but does not involve the source of consumption,and consumers can not satisfy the assumption of complete information and rational decision-making.At the same time,compared with the United States,Chinese residents are more constrained by consumer credit,which makes it difficult to smooth life-long consumption and achieve the optimal utility level.Therefore,this paper analyzes the applicability of PAPM theory in the measurement of China's stock market bubbles,and proposes a PAPM theory which is more consistent with the current domestic investment driven economic long-term growth background.It establishes asset pricing model based on PAPM theory,and deeply studies and studies domestic stock market bubbles.Then,this paper collects the weight data of the Shanghai 50 index corresponding to 2005Q2 and 2019Q3 in each quarter,including the return on investment of enterprises and the real market return on investment to get the stock bubble sequence,and obtains the bubble return series from 2005Q2 to 2019Q3 through empirical research.Finally,combined with the empirical results,this paper analyzes the causes and operational mechanism of China's stock market bubbles,and puts forward corresponding policy recommendations.The following conclusions are drawn: firstly,there are problems in the current commonly used stock market bubble measurement methods,such as the lack of quantitative measurement and measurement dependence,the lack of objectivity and accuracy of subjective factors,and considering that the driving force of investment in China will remain the main driving force for economic growth in the long term.This price is closer to the current situation of China than from the consumption point of view.Second,since 2005,the domestic stock market has produced three obvious bubbles,which are around 2008,2009 to 2011,2015,and the bubble in 2008 is mainly affected by the subprime crisis of the United States,which is one of the victims of the global economic crisis.The bubble since the 2012 is mainly the continuation of the economic crisis.Influenced by the government's policies to restore the domestic economy,the stock market bubble was mainly affected by large-scale bankruptcy and bankruptcy in 2015.The crisis spread to the mainland of China and caused the bank bad debt crisis,and finally the stock market bubble collapsed.Third,the factors that generate and run the stock market bubbles can be classified as administrative,market and policy factors,among which market factors are the main reasons.Prime Minister occupies a leading position.The high degree of speculation in the stock market and the intervention of government interest rate cause the stock market bubble to produce and affect the stock market bubble operation.Meanwhile,the stock market is subject to administrative intervention by the government.Fourth,the paper thinks that there is a bubble in China's stock market and must control the stock market bubble.Therefore,four policy recommendations are put forward:(1)Encouragement.Enterprises should strengthen and improve their profitability;(2)Clarify the purpose of stock market regulation and reduce the government's administrative intervention;(3)Strengthen financial supervision and standardize market trading behavior;(4)Deepen the reform of stock market and improve the stock market system.