基于持续期依赖马尔可夫转换模型的我国股市泡沫研究  

Testing for Stock Price Bubbles in China Using the Duration-dependent Markov Switching Autoregressive Model

作　　者：李想[1] 刘小二[1] 

机构地区：[1]厦门大学经济学院,福建厦门361005

出　　处：《财经理论与实践》2011年第1期43-47,共5页The Theory and Practice of Finance and Economics

摘　　要：使用持续期依赖马尔可夫转换模型,通过Gibbs抽样估计方法,对上海股票市场是否存在泡沫进行研究。结果表明,我国股票市场具有明显的持续期依赖特征。给出上海股票市场在样本期间内各时刻处于有泡沫状态的概率,发现在样本期间内有三个时段存在泡沫的概率超过了50%。Using the duration--dependent Markov switching autoregressive model and Gibbs sampling method, the existence of bubbles of Shanghai stock market has been researched. The results show that there is significant duration dependence feature in the Shanghai stock market, and the probability of bubbles existence are greater than 50% in three periods.

关 键 词：泡沫 持续期依赖 马尔可夫转换 GIBBS抽样 

分 类 号：F830.9[经济管理—金融学]