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1、基于EEMD的中国股市泡沫研究ABSTRACTRationalbubbletheoryisbuiltonthebasisofrationalexpectations,andbehavioralfinancebubbletheoryfindstherationalityofinvestorsarelimited,butbothbelongtothesamelinearparadigm,andbothexplainfluctuationsinthecapitalmarketassetpricesfromexternalmechanism.Heterogeneitybeli
2、efsassetpricingtheoryisbasedonthenon-linearparadigm,itinterpretsthewayofassetpricerunformaviewofinternaloperationofthemarketmechanism.Atpresent,MostofResearchontherelationshipbetweenheterogeneousbeliefsandthestockmarketbubbleconsiderpartofassetpricingwhichisdeterminedbyheterogeneousbeli
3、efsshallbebubbles,buttheanswertohowheterogeneousbeliefsaffectsthestockmarketbubbleandWhichspecificbubblewillbeexactlybroughtaboutisnotverysufficient.Totesttheexistenceofthestockmarketbubble,thispaperdecomposestheShanghaiCompositeIndexandShenzhenComponentIndexbyusingthemethodofEnsembleEm
4、piricalModeDecomposition(EEMD)whichcanaccuratelyinterpretallkindsoffrequencyinformationonthesurfaceofthenonlinear,non-stationarysignals.Referringtothecurrentresearchonstockmarketbubble,thispaperintroducesmacroeconomicseconomyperiod,credit,internationalcapitalflows,monetarypolicyandother
5、aspectsofthefactorsintothestockmarketbubble,andinthemicrolevelinvestorheterogeneousbeliefswhichisalwaysconsideredbemoreinlinewiththerealisticmarketisintroducestoinvestigatetheformationmechanismofthestockmarketbubble,andalsothispaperproposeatwo-levelformationmechanisminwhichmacroeconomic
6、factorsaffectsthestockmarketbubblebythemicro-level.Finally,furtherresearchontherelationshipbetweenheterogeneousbeliefsandthestockmarketbubblehasbeenstudied.ThispaperfindsEEMDcanperfectlytestsouttheShanghaiandShenzhenstockmarketbubbles,meanwhile,thebubblehaspositiveandnegativepoints,andi
7、tistheresultofmultiplesuperpositionofcyclesofnatureoscillationmodes;Aftersignalreconstruction,IMFdecomposedformEEMDcontributestomakearightjudgmentonthestockmarketpatternsinashortorlongterm.Andtheoperationcycleandvolatilityhaveacertainsignificancetoinvestorsandregulators;thereis
