PWY泡沫检验方法的修正研究及实证分析

doi:10.52396/JUST-2020-1138

中国科学技术大学学报 ›› 2021, Vol. 51 ›› Issue (1): 43-52.DOI: 10.52396/JUST-2020-1138

PWY泡沫检验方法的修正研究及实证分析

叶五一^*, 刘伟博

中国科学技术大学管理学院统计与金融系, 安徽合肥 230026

出版日期:2021-01-31 发布日期:2021-05-27

Testing bubbles based on modified PWY method

YE Wuyi^*, LIU Weibo

Department of statistics and Finance,School of management, University of Science and Technology of China, Hefei 230026, China

Online:2021-01-31 Published:2021-05-27
Contact: *E-mail: wyye@ustc.edu.cn
About author:Ye Wuyi is an associate professor of school of management at University of Science and Technology of China (USTC). He received the PhD degree of Management Science and Engineering at USTC in 2016. Hisresearchfocuseson financial engineering and financial risk management.
Liu Weibo is a Master degree of University of Science and Technology of China (USTC), studying at department of statistics and Finance, School of management. Hegraduatedfromthe school of the gifted young at USTC. His research field is financial risk and financial bubbles.

摘要/Abstract

摘要： 近年来,泡沫的识别和检验一直是金融领域中的一个重要研究课题.常见的研究方法包括基于ADF测试法和PWY替代法.高频金融时间序列存在序列相关性,为了去除序列相关性的影响,并能应对同一样本周期内出现多个泡沫的情况进行检验,对PWY替代法从考虑序列相关性的视角做出了修正,并应用BSADF法获得统计量序列,并基于模拟方法给出了相应的修正临界值序列.最后,以2000年到2019年的上证指数为研究对象,基于GSADF法和修正的PWY方法进行了实证研究,识别并检验泡沫现象.实证结果表明,在2000年到2019年间出现了3次泡沫,与实际金融市场情况相符合,而传统PWY方法并不能检验出所有泡沫.因此,给出的GSADF法和修正的PWY法能及时发现泡沫,可以为识别市场风险以及预防金融危机提供一定的指导.

关键词: GSADF法, BSADF法, 修正临界值序列, 泡沫识别和检验

Abstract: In recent years, the identification and inspection of bubbles has appeared as an important research topic in the financial field. ADF testing method and the PWY alternative method are commonly used, with serial correlation in high-frequency financial time series. In order to remove the influence of serial correlation and be able to test the situation of multiple bubbles at the same sample period, we have made a correction to the PWY alternative method with serial correlation. The BSADF method is used to obtain the statistical sequence, and the corresponding modified critical value sequence is given based on the simulation one. According to the Shanghai Stock Index from 2000 to 2019, an empirical study was conducted based on the GSADF and the revised PWY method to identify and test the bubble phenomenon. The empirical results show that three bubbles appeared between 2000 and 2019, which is in line with the actual financial market conditions, and the traditional PWY method cannot detect all bubbles. Therefore, the GSADF and the modified PWY method given in this article can find bubbles in time and provide some guidance to identify market risks and prevent financial crises.

Key words: GSADF method, BSADF method, Modified critical value sequence, Examination and detection of bubbles

中图分类号:

O643.36

叶五一, 刘伟博. PWY泡沫检验方法的修正研究及实证分析[J]. 中国科学技术大学学报, 2021, 51(1): 43-52.

YE Wuyi, LIU Weibo. Testing bubbles based on modified PWY method[J]. Journal of University of Science and Technology of China, 2021, 51(1): 43-52.

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PWY泡沫检验方法的修正研究及实证分析

Testing bubbles based on modified PWY method

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