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1、上海交通大学 硕士学位论文 我国股市泡沫识别与推进机制研究 姓名：王鸣飞 申请学位级别：硕士 专业：金融学 指导教师：沈思玮 20081201 上海交通大学硕士学位论文 i 我国股市泡沫识别与推进机制研究 摘 要 我国的股票市场在经历了长达四年的熊市之后，终于在 2005 年底 迎来了一轮波澜壮阔的大牛市，上证指数由最低 1000 点左右上涨到了 6124 点， 上涨幅度超过 5 倍。 那么股市如此大幅度的上涨是否存在着泡 沫？如果存在泡沫， 又是如何推进的呢？论文研究的目的正是为了对以 上两个问题给出回答。 论文首先阐述了股市泡沫的定义以及研究这一课题的意义， 并对国 内外有关股市泡沫的文献
2、进行了梳理。 随后运用泡沫的游程持续期依赖 模型以及基于合理市盈率的泡沫检验模型两种互补的检验方法， 对我国 2005 年底至 2007 年三季度的牛市进行了实证研究。其中游程持续期依 赖模型最初由 McQueen 和 Thorley（1994）提出，论文在应用时对超额 收益以及样本时间长度的选取等方面进行了调整； 而针对基于合理市盈 率的泡沫检验模型，论文从股利贴现模型出发，对这一模型的理论依据 进行了完善。两种模型的实证检验结果基本一致，均显示我国股市在考 察期内曾经存在泡沫，且泡沫大约出现在 2006 年底、2007 年上半年。 此外，通过考察国内外市盈率、市净率及成交量等指标，也同样反
3、映出 我国股市在 2007 年呈现出明显的泡沫化特征。 上海交通大学硕士学位论文 ii 在识别出我国股市存在泡沫之后， 论文又从宏观和微观两方面对我 国股市此轮泡沫的推进机制作了分析。从宏观上来看，人民币升值、股 权分置改革以及上市公司盈利增速回升等三条主线引领股市出现了一 波上涨，并逐渐推动了大反馈环 M 的形成，我国股市也得以进一步上 涨。但由于反馈环存在自我加速的特征，且由于去年年初国内外经济形 势发生了重大改变，反馈环 M 变异成为反馈环 M，股市的上涨也演变 成投资者情绪与证券市场内部的自我推动， 得不到来自宏观经济反馈环 的支持。而在这一过程中，我国股市的泡沫也开始产生并逐渐膨胀。
4、从 微观上来看，我国目前独特的人口、社会特点以及证券市场存在的问题 等都是推动股市走向泡沫的重要因素。具体来看，这些因素主要包括我 国投资者特定的年龄结构、新时代情结、大众传媒、国内机构投资者存 在的代理问题、信息不对称、过度的行政干预、套利机制缺失等。 最后，论文按照行业及市值分类，研究我国股市泡沫时期的结构特 征。按照行业分类，通过均值差检验，我们发现金融、地产等周期性行 业股价在整个泡沫过程中的涨幅显著大于其它行业；同时通过回归分 析，我们还发现，期初市盈率越低的行业在整个牛市中的期间涨幅就越 大，这一点在泡沫产生以后尤其明显。而按照市值分类，尽管不同市值 板块在整个泡沫演进过程中涨幅没
5、有显著差别， 但在泡沫的不同阶段涨 幅却存在显著的差异。 上海交通大学硕士学位论文 iii 关键词：股市泡沫，反馈环，市盈率，游程持续期依赖检验 上海交通大学硕士学位论文 iv A STUDY ON THE RECOGNITION AND THE PROCEEDING MECHANISM OF THE BUBBLE IN CHINESE STOCK MARKET ABSTRACT After 4 years bear market, Chinese stock market experienced a bull market from 2005. Shanghai Composite Inde
6、x skyrocketed by 500% from 1000 to 6124. Were there bubbles behind the bull market? If the answer is yes, then how did the stock market bubble proceed? The thesis is aimed to answer these two questions. The thesis begins by introducing the definition of the stock market bubble, making clear the purp
7、ose of the thesis and having a review of the research on stock market bubbles conducted by both Chinese and foreign researchers. Then two empirical studies, namely duration dependence model and rational P/E model, are conducted to test whether there were bubbles in our stock market during the last t
8、wo years period. The duration dependence model was first proposed by McQueen and Thorley (1994) and the thesis made some adjustments on the model in application. The thesis also 上海交通大学硕士学位论文 v improved the theoretical derivation of the rational P/E model starting from the discounted dividend model.
9、The results from the two studies are more or less the same. The studies show that the bubbles in our stock market arose at the end of 2006 or at the early 2007. In addition, by examining the P/E, P/B and market turnover from both Chinese market and foreign markets, there have been evident signals in
10、dicating the bubbles in Chinese stock market. After identifying the bubble in our stock market, the thesis makes a thorough analysis on the proceeding mechanism of the bubble. In macro terms, three factors including the appreciation of RMB enabled the initial rise of our stock market and helped the
11、formation of the feedback loophole M. Due to the self-acceleration of the feedback loophole and the great changes in Chinese and the world economic and financial conditions at the beginning of 2007, the feedback loophole M was transformed to M and the continuing surge of the stock price in Chinese s
12、tock market could not be supported by the macro economy and was only a reflection of the investors emotions and the stock markets internal feedback. The stock market bubble in China was gradually formed and inflated during this process. In micro terms, the unique population and social characteristic
13、s in China and the problems in our stock market are also important factors that drove our stock market to form bubbles. Specifically, these factors include the special age structure of Chinese 上海交通大学硕士学位论文 vi investors, the new times feeling, the agent problem of our institutional investors, the inf
14、ormation asymmetry, the excessive regulatory interference, the lack of arbitrage mechanism, etc. Finally, the thesis makes a research on the characteristics of different structures in the bubble period based on industry and market cap. It showed that cyclical industries such as finance and real esta
15、te had a higher percentage price rise than the other industries and the lower the P/E of an industry at the beginning, the more the price of an industry rose subsequently. In addition, although there was no significant difference in the amount of the percentage price rise in different cap stocks, st
16、ocks of different caps did perform differently in different stages of the stock market bubble period. KEY WORDS: stock market bubble, feedback loophole, rational P/E, duration dependence test 上海交通大学硕士学位论文 iv 表格目录 表 2-1 上证指数游程持续期依赖检验结果 14 表 2-2 上证 180 指数游程持续期依赖检验结果 15 表 2-3 深圳成指游程持续期依赖检验结果 16 表 2-4 深圳综指游程持续期依赖检验结果 17 表 2-5 与市盈率有显著联系的宏、中观变量 23 表 2-6 E/P 多元回归结果 24 表 2-7 经过逐步回归后得到的 E/P 多元回归结果 25 表 2-8 合理市盈率与市场实际市盈率比较（2006 年四季度至 2007 年三季度） 26 表 2-9 各国（地区）股市 2007 年三季度末市盈率与市净率比较 . 28 表 2-10 部分券
