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基于单位根右侧ADF泡沫检验方法(BSADF)对中国沪深主板市场、中小板市场、创业板市场的泡沫程度及其存续周期时点进行动态监测,进而全面挖掘股市泡沫的核心影响因素。研究结果表明:在整个时期内,各股市均出现多次周期性泡沫,沪深主板市场在2006—2007年出现了历时最长且较为严重的泡沫;中小板市场和创业板市场均在2015年上半年出现了较为严重的泡沫,但存续周期较短;国内股市泡沫具有显著的内在持续性,其走势与宏现经济走势背离。引入做空机制能显著押制股市泡沫;货币政策、美国利率水平、人民币汇率、沪港通机制均对股市泡沫产生显著影响,但影响方向不尽相同。
Based on the ADF Foam Inspection Method (BSADF) on the right side of the unit root, dynamic monitoring was conducted on the foam level and the duration of the life cycle of the main market of the China’s Shanghai and Shenzhen stock exchanges, the small and medium-sized board, and the GEM so as to fully tap the core influencing factors of the stock market bubble. The results show that there are many cyclical bubbles in various stock markets throughout the period, with the longest and more serious bubble in Shanghai and Shenzhen main stock markets in 2006-2007; both the small and medium-sized board market and the GEM in 2015 In the first half of the year, there appeared a more serious bubble, but the period of existence was shorter; the domestic stock market bubble had a remarkable inherent continuity and its trend deviated from the present macroeconomic trend. The introduction of shorting mechanism can obviously control the stock market bubble. The monetary policy, the interest rate level of the United States, the exchange rate of RMB, the mechanism of Shanghai-Hong Kong Stock Connect have a significant impact on the stock market bubble, but the impact is not the same.