摘要
本文使用一个三区制转换模型识别中国股市泡沫的非线性特征,刻画其动态演进过程,并探讨了异常交易量和超常收益率对三区制转换的解释作用.我们发现,上证综指泡沫的变化可以明确划分为潜伏、膨胀和破灭三种区制,异常交易量和超常收益率对于泡沫的区制转换有很好的解释作用,样本内和样本外预测都取得了较好的效果.
In this paper we employ a three-regime-switching model, to capture the nonlinear characteristics of the Chinese stock market bubble dynamics, and to test the explanatory power of heterogeneous beliefs for the regime-switching. We find that the bubbles in SHSE can be distinguished into dormant, explosive and collapsing three regimes, and the abnormal trade volume and the excessive return have the significant explanatory power of the regime switching.
出处
《系统工程理论与实践》
EI
CSSCI
CSCD
北大核心
2013年第1期25-33,共9页
Systems Engineering-Theory & Practice
基金
国家自然科学基金(71071132)
教育部人文社科规划项目(09YJA790118)
教育部人文社科基金(08JA790109)
教育部人文社科基地重大项目(08JJD790134)
关键词
股指泡沫
区制转换
异常交易量
超常收益率
stock market bubbles
regime switching
abnormal trade volume
excessive return
