股市泡沫的生成機理及實證研究.pdf

1、北京工業(yè)大學碩士學位論文股市泡沫的生成機理及實證研究姓名：葛騰飛申請學位級別：碩士專業(yè)：數(shù)量經濟學指導教師：曾詩鴻20090401北京T業(yè)大學經濟學碩十學位論文曼魯量曼皇曼量量曼鼉曼篡曼皇I：I111：I曼Abstract111equestionaboutstockmarketbubblesisverysignificantinthetheoryfieldallthetimeTI圮stockmarketbubblesoriginfrom

2、thecharacteristicoffictitiousnessandincompletenessinstockmarketTheoryfieldexplainedthestockmarketbubblesbasedonrationalbubblesandirrationalbubblesrespectivelyTheformerisonthepremiseofinvestors’rationalbehaviorandtheratio

3、nalexpectationhypothesis，andthelatterdealswiththequestionfrominvestors’irrationalpsychologysentimentorbehaviorTheirrationalbubblestheoryimprovessomestrictprerequisitesoftheformerandanalysesthequestionmoreobjectivelyandpr

4、acticallyTlliSpapercarriesontheoreticalresearchontheformationmechanismofbubblesfromthetwoanglesmentionedabove，andexecutessomeempiricalanalysisonthestockmarketsofourcountry111eworkandconclusionsofthispaperaleasfollows：Fir

5、stlythispaperanalysestheformationmechanismofrationalbubbles，andteststheexistenceofrationalbubblesinstockmarketsofShanghaiandShenzhenofOurcountrybymeansofthedurationdependencetestmethodn圮empiricalresultindicatesthattherea

6、rerationalbubblesinthestockmarketsofourcountryduringthepastyearsAndtherationalbubblesinShanghaimarketaresignificantrelativelySecondlythispaperstudiesnoisetraders’irrationalbehaviorbyextendingthenoisetradermodel，SOastoexp

7、laintheformationmechanismofirrationalbubblesByintroducingfundamentalvalueshocksintothenoisetradermodel，thispaperdefinesthecomponentofirrationalbubblescausedbynoisetradersneanalysisindicatesmattheirrationalbubblesofassets

8、arecorrelatedwiththenoisetraders’misperceptionandthedegreeofoverreactiontotheshockoffundamentalvalueThirdlybymeansofinstitutionalinvestors’sentimentindexthispaperanalysesthebubblesinthestockmarketsofourcountryTl圮empirica

9、lresultshowsthattheinstitutionalinvestors’sentimentofourcountrycallcausethefluctuationsofstockmarketandthenchumbubblesOntheotherhand，institutionalinvestors’sentimentiSaffectedbythefluctuationsinvestors’sentimentinthestoc