摘要
创业板市场发展至今虽然只有11年,但却频繁出现暴涨暴跌的现象,市盈率超过30倍的股票的比例高达88.278%,表明创业板股市存在泡沫和高估值风险。市场泡沫损害投资者的利益,同时也积累金融市场的系统性风险,降低资源配置效率。只有合理地判定创业板市场是否存在泡沫,动态地测定泡沫形成和破裂的时点,市场监管者、货币管理当局和投资者才能依据市场状况采取相应的措施,防止泡沫的进一步扩大。基于价格股利之比序列,从投资和收益综合角度检测中国创业板市场的泡沫。选取2010年6月1日至2017年9月1日的创业板全收益指数和价格指数的周收盘数据作为观测数据,参考Cochrane的公式推导出价格股利之比。通过蒙特卡洛仿真得到检验的临界值序列,利用GSADF方法检验泡沫的存在性,用BSADF时间标记方法对周期性泡沫的起点和终点进行标记,以动态监测创业板市场泡沫的演化过程。研究结果表明,中国创业板市场先后形成7次泡沫,每次泡沫来得快去得也快,并且泡沫程度大,说明以个人投资者为主的创业板市场存在更加严重的羊群行为。与呈现"慢牛"的美国纳斯达克市场相比,中国创业板市场仍处于频繁波动的新兴市场阶段。此外,创业板市场几乎每年产生一次泡沫,且均发生在4月份,从而形成中国创业板市场泡沫的"四月效应"。说明中国创业板市场每年4月份发力,出现繁荣。从投资与收益相结合的角度出发,为创业板市场周期性繁荣和破裂的泡沫检验提供了新思路,为研究泡沫期内和泡沫期外公司财务决策的差异,如资本结构动态调整、股利政策、现金持有量、并购等开辟了广阔的前景,同时为监管部门针对不同的泡沫期出台相应的监管措施提供参考。
Although the GEM market has been developing for only eleven years,it has experienced frequent surges and slumps.In addition,the stocks with price-earnings ratio over 30 times account for 88.278%,showing that there is a risk of bubbles and overvaluation in the GEM market.The bubbles will damage the interests of investors,and accumulate systemic risks in financial markets,resulting in lower efficiency of resource allocation.Only by reasonably detecting the multiple bubbles in the GEM market,especially stamping the origination and termination points of these bubbles dynamically,can market regulators,monetary authorities and investors take corresponding measures according to the market conditions to prevent the bubble from further expanding.For the first time,based on the series of price-dividend ratio,the bubbles in China’s GEM market were tested from the perspective of investment and returns.This study selected the weekly closing data of the total return index and price index from June1,2010 to September 1,2017 as the observations,then the price-dividend ratio series were backed out from RI and PI on the basis of Cochrane’s formula.Getting critical value sequences by Monte Carlo simulation,GSADF method and BSADF time-stamping method were used to test the existence of bubbles and stamp the origination and termination points of these periodical bubbles respectively.Thus,we can dynamically detect the evolution of the GEM market bubble.The results indicate for the first time that China’s GEM market has formed seven bubbles.Every time,the bubble exuberates and then collapses rapidly,with a great degree.The empirical evidence shows that the GEM market,which is dominated by individual investors,has a more serious herd behavior.Compared with the market in the United States,which presents"slow cow",the Chinese GEM market is still an emerging market with frequent fluctuations.Furthermore,there is a bubble in April almost every year,forming the"April effect"in the GEM market.The"April effect"indicates that China’s GEM
作者
肖明
李格
郭颖
XIAO Ming;LI Ge;GUO Ying(School of Econonics and Management,University of Science and Technology Bejing,Beijing 100083,China)
出处
《管理科学》
CSSCI
北大核心
2020年第5期153-165,共13页
Journal of Management Science
