股票市場週期性崩潰泡沫之檢定:美國、德國及日本的實證研究

Testing for periodically collapsing bubbles in the stock markets：Evidence from the US, Germany and Japan

宋其美(Chi-Mei Sung)

指導教授 ： 陳仕偉

中原大學/商學院/國際貿易研究所/碩士(2013年)

https://doi.org/10.6840/CYCU.2013.00029

摘要

本文旨在探討三個國際股票市場 (S&P 500, DAX 30, Nikkei 500) 是否存在週期性崩潰泡沫現象，我們採用動量門檻自我迴歸模型 (the momentum threshold autoregression, MTAR) 及具平滑轉換性質的動量門檻自我迴歸模型 (the logistic smooth transition-momentum threshold autoregression, LSTR-MTAR) 進行實證研究。實證結果顯示：線性的單根檢定結果顯示無法拒絕單根的虛無假設，表示股票市場存在理性泡沫。MTAR 檢定結果亦得到無法拒絕單根的虛無假設；LSTR-MTAR 檢定結果顯示 DAX 30 得到拒絕單根的虛無假設，同時得到無法拒絕對稱調整假設的結果。綜合 MTAR 及 LSTR-MTAR 的檢定結果,顯示這三個股票市場不存在週期性崩潰泡沫現象。

關鍵字

週期性崩潰泡沫 ； 單根 ； 股票現值模型

並列摘要

This study tests for the presence of Evans' (1991) periodically collapsing bubbles of three international stock indexes, including S&P 500, DAX 30 and Nikkei 500, applying methods of the momentum threshold autoregressive model (MTAR) and the MTAR model along with smooth transition in trend model (LSTR-MTAR). Empirical results from the linear unit root tests show evidence of rational bubbles, and the results of the MTAR test are consistent with the linear unit root test. The results from the LSTR-MTAR test show that periodically collapsing bubbles do not hold in the DAX 30 market provided that structural shift in trend is allowed.

並列關鍵字

Unit root ； Periodically collapsing bubble ； Present value model

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