CAJ | 학술논문

从理性泡沫的一般理论模型出发，主要采用久期依赖法（duration dependence）对上证综合指数进行了理性泡沫的实证检验，并用观察性证据（anecdotal evidence）进行了验证。研究发现，中国股市的各种特征很符合理性泡沫模型的推论，支持了中国股市理性泡沫的存在性。而中国股市理性泡沫的成因有其制度上的特殊性，这是由我国股市的特殊发展轨迹所决定的。
종이성포말적일반이론모형출발，주요채용구기의뢰법（duration dependence）대상증종합지수진행료이성포말적실증검험，병용관찰성증거（anecdotal evidence）진행료험증。연구발현，중국고시적각충특정흔부합이성포말모형적추론，지지료중국고시이성포말적존재성。이중국고시이성포말적성인유기제도상적특수성，저시유아국고시적특수발전궤적소결정적。
Based on the common theoretical model of rational bubbles, this paper employs duration dependence to investigate the existence of rational bubbles in China＇s stock market, then use the anecdotal evidence to validate its result. Encouraging empirical results are obtained and confirm the exist of rational bubbles. The results show that the characters of China＇s stock market accord with the deduces of rational bubble very much. The cause of rational bubbles in China＇s stock market has the system particularity, which is determined by the particular development of China＇s stock market.