摘要
本文在借鉴国内外最新研究成果的基础上,以股市的实际运行为基础,以股市泡沫的生成演化为主线,兼顾宏观与微观分析、理论与实证分析,通过定性研究与定量研究相结合的方法对股市泡沫的生成演化问题进行系统梳理和深入研究,并依据相应理论对我国股市场泡沫现象进行了深入剖析,提出了股市泡沫防控的政策建议。
本文的研究主要沿着六个方向展开：一、在明确界定股市泡沫概念的基础上,总结提出了股市泡沫形成的基础性条件；二、详细讨论影响股市泡沫的各种因素,提出股市泡沫受多种因素影响的一般框架；三、从现实股票市场信息不完全不对称、投资者有限理性的基本事实出发,以股市不同参与者之间的关系为纽带,深入研究股市泡沫的形成机理；四、剖析泡沫在股市局部生成、膨胀并不断向四周扩散进而演变为整个市场泡沫的基本路径和机制；五、以异质市场主体为基础,建立股市泡沫演变的非线性模型来进一步分析股市泡沫的演变机制,总结提出了股市泡沫的一般演化路径；六、依据股市泡沫生成和演化的理论,对我国股票市场的泡沫现象进行了实证研究,提出了相应的泡沫防控的政策建议。
围绕上述研究方向,论文共分为导论、股市泡沫形成的基础性条件、股市泡沫的影响因素、投资者有限理性下股市泡沫的形成机理与实证检验、投资者有限理性下泡沫的演化特征、我国股市泡沫的实证研究以及我国股市泡沫防控的政策建议共7个章节。各章节间具有层进关系。
第一章是导论。该部分主要是分析股票市场上泡沫问题提出的背景与意义。并从市场有效假说、行为金融理论的角度梳理了已有的国内外关于股票市场上泡沫的研究文献,为后续的研究提供了理论根基和思想来源。本章也对本文的逻辑结构、研究的思路与方法进行了总括性地描述,给出了整个文章发展的基本逻辑框架结构。
第二章分析了股市泡沫形成的基础性条件。本章当中首先界定了股票泡沫(局部泡沫)与股市泡沫的概念并对其基本特征进行了分析。分析认为,股票市场既是一种现实社会经济的存在形式,也是经济社会发展到一定阶段的经济制度演变的必然结果。从而,股票市场作为虚拟经济的重要存在形式,虚拟经济的不断发展提供了股市泡沫产生的物质基础,货币的内生创造和金融创新与发展的制度演化提供了泡沫生成演变的制度性基础。没有这些重要的物质基础和制度条件,股市泡沫就会既失去了经济载体,也丧失了产生的社会制度环境,其生成和演变是不可想象的。
第三章详细地分析了股市泡沫的各种影响因素。本章当中,将影响股市泡沫的各种因素区分为制度因素、微观主体因素和宏观经济因素三大范畴。首先,沿着股票发行、上市、交易的路线比较详细地论述了股票发行制度、交易流通制度、信息披露制度和清算交割制度对股市泡沫生成和演变带来的重要影响。在泡沫形成变化过程中,微观主体因素居于不可替代的关键地位,投资者的有限理性特征是投资者现实的、根本的特征,该特征的存在是有效市场状态难以实现以及泡沫产生的最基本原因。本节将微观主体区分为个体投资者和机构投资者,并沿着“信息-心理-决策-行为-市场”的分析路线,借助行为金融理论,依托对投资者认知、决策机制的详细论证,来认识各种市场因素影响下的投资者的决策过程与策略实施的行为,究竟是如何导致市场出现泡沫这样一个结果的。并给出了个体投资者和机构投资者行为导致股票市场泡沫出现演变的一般路径。宏观经济因素则提供了泡沫产生变化的大环境,它对股市泡沫的影响表现为宏观经济领域多方面多因素的混合影响,其中包括经济周期波动这个纯粹经济运行因素,政府的宏观经济政策等的政策干预影响,也包括涉及国家间经济关系的资本跨境流动的影响。本章最后在综合考虑各种因素的基础上,提出了股市泡沫受多种因素影响的一般框架。
第四章基于投资者有限理性这个基本特征,考虑现实股市信息不完全不对称的基本事实,分析市场参与主体之间的博弈状态,给出了推动泡沫变化的四个基本而又典型的具有泡沫导火索特征的因素,并据此给出了四个不同的理论模型。其一,基于缓解市场流动性(不足或过剩)压力的市场博弈模型；其二,基于投资者主动匹配风险收益而进行的风险分散和转移行为而激发泡沫的事实；其三,追求理性结果的投资者因对信息的认知存在偏误而导致的有偏行为推动泡沫的产生；其四,投资者在企图获取真实信息而不能的情况下,根据当时的价格走势推断市场而产生的预期偏差导致的有偏行为——追涨杀跌而促成泡沫,这是个体理性与集体理性悖论的典型现象之一。本章在对市场行为特征进行理论分析的基础上,探讨了一些常用的检验方法,并给出了一些学者研究的经验性证据。
第五章着重分析了股市泡沫的演变特征。本章根据上文对股市泡沫形成的分析,首先探讨了局部泡沫的膨胀机制,以及局部泡沫如何扩散变成整个市场泡沫的路径。随后,借助非线性技术研究整个市场泡沫的非线性持续性特征,进一步论证了市场的非有效性。同时借鉴ABS概念,从更加接近现实市场的异质主体角度,建立了异质主体模型,从理论角度分析了不同性质投资者共同存在的市场上,泡沫演化所具有的一般特征,给出了泡沫破灭的条件,并总结出了股市泡沫的一般演化路径。
第六章是结合前面各章的分析,对我国股票市场泡沫问题的实证研究。以详实的数据,直观的图表形式,分析了我国股市发展的现状以及泡沫的运行特征。分析认为,我国股市泡沫的变化周期与我国宏观经济周期紧密契合且往往先行而动；泡沫膨胀的过程中一般都伴随有比较宽松的经济政策环境；泡沫发展明显地走过了膨胀(消减)与扩散的过程,泡沫在早期阶段的膨胀受到业绩变化和预期向好的影响,而在泡沫快速膨胀阶段,预期因素影响下的群体行为和正反馈行为是重要的推动力量,而且,群体行为往往在泡沫的形成和持续膨胀阶段的程度要大过股价下跌过程中的程度；我国股市泡沫对外部冲击具有长期记忆特征,存在大约90天左右的非周期循环,股市泡沫的运行具有非线性特征。
第七章是我国股市泡沫防控的政策建议。根据我国股市泡沫产生的主要原因,我国股市泡沫防范可以从宏观经济、市场微观主体和市场制度三个角度入手。而泡沫膨胀和破灭阶段的治理是一项较长期的工作,如何在不打击市场信心的情况下以低成本措施有效地稳定市场价格,和如何在泡沫破灭后重建人们对股市价格走势和经济迅速恢复的信心是一项巨大的挑战。文中提出了泡沫膨胀早期阶段监管干预的市场微扰交叠技术和因经济体制内在问题所激发的泡沫治理的强制路径转换问题。
本文的主要创新点包括：
(1)界定股票市场上的泡沫的基本内涵时,明确提出股市泡沫层次的概念,即股票泡沫和股市泡沫是两个不同层次的概念,前者是后者的基础,后者是前者膨胀和扩散的结果,前者是比较微观的问题,后者是比较宏观的问题；
(2)明确提出并系统梳理了股市泡沫生成和演化的物质性基础条件和制度性基础条件；总结提出了各种因素影响股市泡沫的一般框架；
(3)明确提出并实证研究了股票市场泡沫推进层次问题,即研究了个股(局部)泡沫首先出现,然后不断膨胀并向四周扩散,最终导致整个市场泡沫形成的机制；
(4)提出股市泡沫膨胀早期阶段主动治理的微扰交叠技术和基于经济体制内在问题所激发泡沫的治理中的强制路径转换概念。
This paper analysis and study the formation and evolution mechanism of the stock market bubbles, drawing on the latest research results at home and abroad, making the formation of the stock market bubbles as main line, according to the actual operation of the stock market. Macro and micro analysis, theoretical and empirical analysis, qualitative and quantitative analysis are mainly research method in this paper. Also, corresponding to some theories, based on studying the stock market bubbles in our country, the paper make some policy recommendations to preventing and controlling the stock market bubbles.
This thesis includes six aspects:First, clearly define the concept of the stock market bubbles and summarize the basic conditions to the stock market bubbles formation; Second, discusse in detail the various factors affecting the stock market bubbles, and put forward the general framework about the stock market bubbles affecting on many factors; Third, in the stock market because information is incomplete and asymmetric in reality, and investors have the basic characteristics of limited rationality, so according to the relationship between different participants in the stock market, formation mechanism of the stock market bubbles was studied in the paper in-depth; Fourth, to the stock market bubbles, the basic path and mechanisms are analyzed about its generation in local, expansion and continue to spread around, eventually evolved into the market bubbles; Fifth, based on the characteristic of the heterogeneous market players, the non-linear evolution model of the stock market bubbles is established, and studied further the evolution mechanism of the stock market bubbles. Finally, the path of the general evolution of the stock market bubbles is proposed; Sixth, according to the theory on formation and evolution of the stock market bubbles, China's stock market bubbles phenomenon is studied empirically. Finally, some methods and policy recommendations of prevention and management stock market bubbles are proposed.
The paper is divided into seven chapters:Introduction, basic conditions of stock market bubbles formation, the impact of the stock market bubbles, the mechanism and empirical test of the stock market bubbles under limited rationality formation of investors, the bubbles evolution characteristics under limited rationality formation of investors, an empirical study of the stock market bubbles in our country, and some methods and policy recommendations of prevention and management stock market bubbles. The sections have a layer into the relationship.
The first chapter is an introduction. In the part, the main issue is the background and significance of the stock market bubbles. From the point of the efficient market hypothesis and behavioral finance theory, combing on the research literature the existing home and abroad of the stock market bubbles, for the following study providing a theoretical foundation and ideological sources. In this chapter, also the logical structure of this paper is studied; the main ideas and methods are described generally, and given the basic logic frame of the paper development.
In chapter 2, formed the basis conditions of the stock market bubbles. This chapter, in the first, defined the concept of stock bubbles (local bubbles) and the stock market bubbles, and its basic characteristics were analyzed. In analysis, the stock market is a real form of social and economic existence also is inevitable result of the economic system evolution and social development to a certain stage. Thus, the stock market is an important form of the virtual economy, continuous development of the virtual economy provides the material basis of the stock market bubbles, and the endogenous creation of money and financial innovation and development provided the institutional basis to evolution and generation of the bubbles. Without these important material foundation and institutional conditions, the stock market bubbles will lose economic carrier, also lost the social system environment for produce. Its generation and evolution is unthinkable.
In chapter 3, analyzes the various factors affecting the stock market bubbles. This chapter which divided the various factors of the stock market bubbles into three main areas:situational factors, micro individual and macroeconomic factors. First of all, along the stock issuance, listing and trading routes discussed in more detail the system of stock issuance, trading circulation system, information disclosure system and the clearing and settlement system on the formation and evolution of the stock market bubbles has brought a major impact. In the bubbles formation process, the micro-elements are in the main key position not being replaced. Bounded rationality of investors is investors'realistic and basic features, the existence of it's create difficult to achieve effective market conditions and the basic causes of foam. In this section, the main distinction between micro individual investors and institutional investors was studied. Along the "information-mental-decision-action-market" line of analysis, with behavioral finance theory, by arguments investors'cognitive and decision mechanism to know the process of investors' act under various market factors and strategic decision-making, how to led the market bubbles, and given the evolution of the general path of the behavior of individual investors and institutional investors in the stock market bubbles. Macroeconomic factors provides a great environment to changes of the foam, which make impact of various multi-factor mixture in the field for the macroeconomic to the stock market bubbles, including fluctuations of the economic cycle as purely economic factors, the government's macroeconomic policy, the economic relations between countries involving cross-border flows of capital. Finally, based on the different factors having the combined effect and the general framework stock market bubbles affected by many factors were proposed.
In chapter 4, based on the bounded rationality of the investors'basic characteristics, taking into account the basic facts of information asymmetric and not entirely, the game state changes were studied among market players and given four basic and typical characteristics of a foam fuse element promoting the bubbles expansion, proliferation or reducing. First, given the market game model based on ease market liquidity (lack or excess) pressure; Second, given the stimulated foam model based on the investors'behavior spreading and transfer investment risk; Third, to pursuit of rational results, investors have the cognitive bias to investment, so cause the existence of biased behavior, and promote bubbles formation; Fourth, under the condition not taking the true information to investors, who often accord the price prevailing to market outlook, so cause biased behavior which is deviation from the expected-chasing sell into corrections and contributed to the bubbles, it is the individual rationality and collective rationality paradox of the typical phenomena. This chapter in the behavioral characteristics of these markets on the basis of theoretical analysis discusses some common and its inspection methods and gives some scholars of empirical evidence.
In chapter 5, based on the last chapter of the foam generated, analyzes the evolution characteristics of the stock market bubbles. In this chapter, analyzing the expand mechanism of the local bubbles in first, and its spread the path into overall market bubbles. Subsequently, using non-linear technologies we study the nonlinear continuous further of bubbles of the overall market bubbles, further demonstrate the non-effectiveness of stock market. Drawing on ABS concept to more realistic market, the main heterogeneous agent model was established. From a theoretical point of view of the heterogeneous agent existing markets, the general evolution features and burst conditions of the bubbles are given, also, summed up the general evolution path of the stock market bubbles.
In chapter 6, combined the previous chapters, researched the stock market bubbles problem on our country by empirical study. By the detailed data, intuitive graphic form, analysis the current development situation, the change characteristics of china's stock market bubbles. This chapter give the conclusion that the changes in china's stock market bubbles period closely related to the macroeconomic cycles and often moving ahead; Bubbles expansion process is generally accompanied by more liberal economic policy environment; Bubbles obviously gone through the development of expansion (reduction) with the diffusion process, the expansion of the bubbles in the early stage subject to the impaction of the changes and expected to be a good performance, and in the rapid expansion of the bubbles stage, the herding based on the influence of the expected and positive feedback are important driving force, and the herding often fell to greater than the level in the bubbles formation and the extent of continued expansion stage; China's stock market bubbles to external shocks with long-term memory characteristics, there is approximately 90 days of non-cyclical stock market bubbles of the operation is a nonlinear characteristic.
In chapter 7, we propose the prevention and management to the stock market bubbles in China's policy recommendations. According to reason of china's main stock market bubbles, the stock market bubbles can be prevented managed in macroeconomic, market microstructure and market system. In the bubbles burst and expansion phase, management is a longer-term work; How to use the low-cost measures to effectively stabilize the market price in the case of not undermine market confidence, and how to rebuild the confidence about the stock market price movements and the rapid restoration in the economy is a huge challenge after the bubbles burst.
In this paper, the main innovations include:
(1) Defines the basic content of the stock market bubbles and the concept of the stock market bubbles levels. Clearly the idea that the stock market bubbles and the stock bubbles is two different concepts; the former is basis to latter, the latter is the former result of expansion and proliferation; the former is more micro issue, and the latter is more macro-issues;
(2) Propose clearly the promoting the level problem of the stock market bubbles, and researched by the empirical studies, that is to say researched on the hole mechanism,which started with the units (partial) foam coming, and then continue to expand and to spread around, eventually leading to the formation mechanism of the overall market bubbles;
(3) Propose clearly the promoting the level of the stock market bubbles problem, and researched by the empirical studies, that is to say researched on the hole mechanism, which started with the units (partial) foam comes, and then continue to expand and to spread around, eventually leading to the formation mechanism of the market bubbles;
(4) Propose the active management of overlap perturbation techniques and economic system of the stock market bubbles in early stages based on the inherent problems of governance in the bubbles inspired by the concept of forced conversion paths.
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