| 中国股市泡沫的三区制特征识别 |
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| 引用本文： | 陈国进,颜诚. 中国股市泡沫的三区制特征识别[J]. 系统工程理论与实践, 2013, 33(1): 25-33. DOI: 10.12011/1000-6788(2013)1-25 |
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| 作者姓名： | 陈国进 颜诚 |
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| 作者单位： | 1. 厦门大学 王亚南经济研究院, 厦门 361005;2. 厦门大学 经济学院, 厦门 361005;3. 厦门大学 计量经济学教育部重点实验室, 厦门 361005 |
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| 基金项目： | 国家自然科学基金,教育部人文社科规划项目,教育部人文社科基金,教育部人文社科基地重大项目 |
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| 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.
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| 关 键 词： | 股指泡沫 区制转换 异常交易量 超常收益率 |
| 收稿时间： | 2010-09-03 |
Identification of Chinese stock market bubbles: The three-regime-switching modeling approach |
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| CHEN Guo-jin , YAN Cheng. Identification of Chinese stock market bubbles: The three-regime-switching modeling approach[J]. Systems Engineering —Theory & Practice, 2013, 33(1): 25-33. DOI: 10.12011/1000-6788(2013)1-25 |
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| Authors: | CHEN Guo-jin YAN Cheng |
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| Affiliation: | 1. The Wang Yanan Institute for Studies in Economics, Xiamen University, Xiamen 361005, China;2. School of Economics, Xiamen University, Xiamen 361005, China;3. MOE Key Lab on Econometrics, Xiamen University, Xiamen 361005, China |
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| Abstract: | 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. |
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| Keywords: | stock market bubbles regime switching abnormal trade volume excessive return |
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