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文章运用蒙特卡洛模拟法,结合市场收益率,提出价格泡沫演化阶段的划分依据。在此基础上,以股票市场为例,对沪深A股价格泡沫演化阶段进行划分,结合历史经验发现,文中个股膨胀集中的区域恰好是2007年我国股市泡沫爆发时期,而个股膨胀明显较少的区域恰好是2008年全球性金融危机爆发时期,可见蒙特卡洛模拟法能够有效地对泡沫阶段进行划分。此外,文章还对不同演化阶段下股市交易特征进行了分析。结果显示,在5%显著性水平下,换手率、成交量、收益率以及波动率在不同演化阶段下均存在显著差异。
The article uses the Monte Carlo simulation method, combined with the market rate of return, puts forward the dividing basis of the price bubble evolution stage. On the basis of this, taking the stock market as an example, this paper divides the stage of the evolution of the price bubbles in Shanghai and Shenzhen stock exchanges. Combining with the historical experience, it is found that the region in which the individual stocks are concentrated is exactly the period when China’s stock market bubble burst in 2007, Just happened during the global financial crisis in 2008, showing that the Monte Carlo simulation method can effectively divide the bubble stage. In addition, the article also analyzes the characteristics of stock exchange under different stages of evolution. The results show that under the 5% significance level, turnover, trading volume, yield and volatility have significant differences at different evolution stages.