论文部分内容阅读
我国股市存在理性泡沫得到了普遍认同.但在现实市场中,股市不存在理性泡沫中的确定性泡沫、持续再生性泡沫、内在泡沫,对于外生泡沫的研究缺乏相关的模型,因此对周期性爆炸泡沫的检验尤为必要.采用非线性的MTAR模型对我国沪市周期性爆炸泡沫的存在性进行研究,研究结果显示,1991年1月至1996年12月期间沪市存在泡沫,而1997年1月至2004年12月泡沫成分消失,2005年1月至2009年12月沪市又出现泡沫成分,从而证实我国沪市存在周期性爆炸泡沫.
However, in the real market, the stock market does not exist the deterministic bubble in the rational bubble, the continuous renewable bubble, the intrinsic bubble, the lack of relevant models in the study of the exogenous bubble, The test of explosion foam is especially necessary.Using the nonlinear MTAR model to study the existence of periodic explosion bubble in Shanghai stock market, the result shows that the bubble exists in Shanghai stock market from January 1991 to December 1996, From January to December 2004, the foam composition disappeared. From January 2005 to December 2009, bubbles appeared again in Shanghai Stock Market, which confirmed that there was a cyclical bubble in Shanghai.