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

• 作 者: ZHANG Xiao-xia WU Chong-feng
• 机 构: Antai College of Economics & Management
• 出 处: 东华大学学报（英文版）
• 发表日期: 2004年期
• 关键词: stock bubbles CAPMIFM bubble return logperiodic power law

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 bused 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.