分布检验法检验沪、深、港、美的股市价格泡沫  

A Distribution Test Method of Price Bubbles in Shanghai,Shenzhen,Hong Kong and United States Stock Markets

作　　者：周爱民[1] 吴明华[1] 

机构地区：[1]南开大学经济学院,天津300071

出　　处：《南开大学学报（自然科学版）》2012年第4期30-36,共7页Acta Scientiarum Naturalium Universitatis Nankaiensis

基　　金：中央高校基本科研业务费专项资金项目(NKZXB1146)

摘　　要：从宏观的角度看,除了2007年10月的股市峰值月之外,在其余大部分时间里中国股市的市值基本都没有达到可能会造成经济泡沫的临界值;但从微观的角度看,中国股市价格中的泡沫成分已经多次显现.借助股市价格指数的对数正态分布假设,检验了沪、深、港、美股市的价格泡沫,结果证明分布检验法用于度量股市价格泡沫还是比较有效的.Viewing from a macroscopic perspective, the market value of Chinese stock market has not yet reached the point at which economic bubbles may occur. However, from the micro point of view, price bubbles of the stock market have already emerged on more than one occasion. The meas- urement of the bubbles can be made by means of testing lognormal stock prices. By using the method, the paper conducts measurements of the bubbles involved in the micro price structure in Shanghai, Shenzhen, Hong Kong and United States stock markets. The result gained proves that it is effective to measure price bubbles of stock market by using distribution test method.

关 键 词：分布检验 价格泡沫 统计量检验 

分 类 号：F832.5[经济管理—金融学]