The Rational Bubble of Chinese Stock Market Based on Markov Regime Switching Model and State Space Model

摘要：

　　This article uses the stock market data of A-stock between 1994~2011,and makes the rational bubble as unobservable latent variables inserting into the Markov regime switching state space model within the rational expectations model.And then,the rational bubbles are measured.The empirical analysis shows that: the formation and disappearance of rational bubble is generated by different areas of dynamic process,and the formation speed is higher than the extinction speed.Moreover,the analysis confirms the four periods of bubbles in A-stock since 1994.

作者: JIANQIANG XIE YONGJUN ZHONG

作者单位: School of Business Administration,South China University of Technology,Wushan RD.,Tianhe District,Gu Zhuhai college of Jinan University,Qianshan Distric,Zhuhai,P.P.China,519070

会议类型: 国际会议

会议名称: 2014 International Conference on Management and Engineering(CME 2014)(2014管理与工程国际会议)

会议地点: 上海

会议语种:英文

页码: 1-10

在线出版日期: 2014-05-24（万方平台首次上网日期，不代表论文的发表时间）