| 中国证券市场泡沫测度及形成机理研究 |
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| 引用本文： | 陈莹,赵成国,李心丹.中国证券市场泡沫测度及形成机理研究[J].复旦学报(社会科学版),2010(2). |
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| 作者姓名： | 陈莹 赵成国 李心丹 |
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| 作者单位： | 1. 南京大学,工程管理学院,南京,210093
2. 南京工业大学,金融系,南京,210009 |
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| 基金项目： | 南京大学研究生科研创新基金项目(项目批准号:2007CW07)的部分研究成果;;国家自然科学基金重点项目(项目批准号:70932003);;一般项目(项目批准号:70671053);;教育部科技创新工程重大项目培育资金项目(项目批准号:708044)支持 |
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| 摘 要： | 证券市场上的资产价格泡沫一直是理论界研究的热点问题。本文以中国A股市场上市公司每股收益作为股市内在价值,从波动性角度提出用泡沫测度方法来测度中国证券市场的股市泡沫程度,以此实证检验并分析中国股市从1996年末至2008年末各波动周期股市泡沫的波动性特征和泡沫程度,进而运用信息反馈和博弈理论探讨股市泡沫的形成机理。
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| 关 键 词： | 内在价值 每股收益 信息反馈 |
A Study on Bubble and Formation Mechanism in China's Stock Market |
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| CHEN Ying,ZHAO Cheng-guo,LI Xin-dan.A Study on Bubble and Formation Mechanism in China's Stock Market[J].Fudan Journal(Social Sciences Edition),2010(2). |
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| Authors: | CHEN Ying ZHAO Cheng-guo LI Xin-dan |
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| Institution: | 1.3.School of Management and Engineering;Nanjing University;Nanjing 2100932.Financial Department;Nanjing Univerersity of Technology;Nanjing 210009;China |
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| Abstract: | Stock market bubble has been a hot academic study problem.In this paper,we use per share of the earnings of the listed companies as the intrinsic value of the stock market,from the perspective of the volatility measure proposed by the bubble method to measure the extent of the stock market bubble,and empirical testing and analysis of China's stock market from late 1996 to the end of 2008,the volatility characteristics of the bubble of the stock market volatility and the degree of the bubble.And it further u... |
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| Keywords: | intrinsic value per share of the earnings information feedback |
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