How do the models to measure bubbles in the stock market

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Ding, Yun (2007) How do the models to measure bubbles in the stock market. [Dissertation (University of Nottingham only)] (Unpublished)

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Abstract

Bubble economy is a phenomenon frequently occurs in the process of finance opening and an essential factor contributing to financial crisis. Once bubbles burst, financial crisis is quite possible. Stock market bubble is a key component of a countrys economic bubble, thus it is important to analyze the developing process of stock market bubble and to find out the method to eliminate harmful bubble component.

The thesis organizes a static index system to measure the bubble component in a stock market and work out the indexes in Chinese stock market. Compared with the indexes in some other countries stock market, the data show that there is big bubble component in Chinese stock market. Using some theories in microeconomic, game theory and information economics, this paper qualitatively analyzes the theoretical causes of stock market bubble and points out that asymmetric information, irrational investing behavior, contradiction between demand and supply as well as duopoly is major factors that result stock market bubble. This paper also sets up an intrinsic bubble model to describe the development of a kind of stock market bubble, which includes only an exogenous fundamental, dividend. Using the data of Shanghai Stock Exchange from June 1996 to December 2001, an empiric tests is done about the intrinsic model. The conclusion is that in Chinese stock market, there is statistically evident evidence to prove that there is intrinsic bubble caused by dividends or information about dividends. Some other factors may result in stock market bubble in China, such as investors, market manipulation, government intervention, listed company and disclosure of information.

Item Type: Dissertation (University of Nottingham only)
Keywords: bubbles, Stock Market, Shanghai Stock Market, Models, stock market bubbles,
Depositing User: EP, Services
Date Deposited: 12 Oct 2007
Last Modified: 30 Jan 2018 22:37
URI: https://eprints.nottingham.ac.uk/id/eprint/21537

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