The Bubbles of China Stock Market Based on Return Decomposition and Cumulative Return

被引：1
|
作者：
章晓霞
吴冲锋
机构：
[1] Antai College of Economics & Management Shanghai Jiaotong University Shanghai 200052
[2] Antai College of Economics & Management Shanghai Jiaotong University Shanghai 200052
来源：
Journal of Donghua University(English Edition) | 2006年 / 04期
基金：
中国国家自然科学基金;
关键词：
stock bubbles; CAPMIFM; bubble return; log-periodic power law;
D O I：
10.19884/j.1672-5220.2006.04.024
中图分类号：
F832.51 [];
学科分类号：
020204 ; 1201 ;
摘要：
Using Capital Asset Pricing Model Integrating both Firm and Market (CAPMIFM), we first decompose the asset return into two components. One is called the fundamental return, which is related to the intrinsic value of the asset. The other is called bubble return, which is derived from the asset bubbles. Then a stock bubble return model based on cumulative return is proposed. The model exhibits characterizing log-periodic oscillations and a power law acceleration of the cumulative return. Empirical results suggest that the model has a good fit for the bubbles of China stock market.
引用
收藏
页码：111 / 115
页数：5
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