英文标题：
《The asset price bubbles in emerging financial markets: a new statistical
  approach》
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作者：
Shu-Peng Chen and Ling-Yun He
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最新提交年份：
2016
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英文摘要：
  The bubble is a controversial and important issue. Many methods which based on the rational expectation have been proposed to detect the bubble. However, for some developing countries, epically China, the asset markets are so young that for many companies, there are no dividends and fundamental value, making it difficult (if not impossible) to measure the bubbles by existing methods. Therefore, we proposed a simple but effective statistical method and three statistics (that is, C, U, V) to capture and quantify asset price bubbles, especially in immature emerging markets. To present a clear example of the application of this method to real world problems, we also applied our method to re-examine empirically the asset price bubble in some stock markets. Our main contributions to current literature are as follows: firstly, this method does not rely on fundamental value, the discount rates and dividends, therefore is applicable to the immature markets without the sufficient data of such kinds, secondly, this new method allows us to examine different influences (herding behavior, abnormal fluctuation and composite influence) of bubble. Our new statistical approach is, to the best of our knowledge, the only robust way in existing literature to to quantify the asset price bubble especially in emerging markets.
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中文摘要：
泡沫是一个有争议的重要问题。人们提出了许多基于理性期望的方法来检测气泡。然而，对于一些发展中国家，尤其是中国，资产市场如此年轻，以至于对许多公司来说，没有股息和基本面价值，因此很难（如果不是不可能的话）用现有的方法来衡量泡沫。因此，我们提出了一种简单但有效的统计方法和三种统计方法（即C、U、V）来捕捉和量化资产价格泡沫，尤其是在不成熟的新兴市场。为了给出一个将该方法应用于现实问题的清晰示例，我们还应用我们的方法对一些股票市场的资产价格泡沫进行了实证检验。我们对现有文献的主要贡献如下：首先，该方法不依赖于基本价值、贴现率和股息，因此适用于没有此类充分数据的不成熟市场；其次，该新方法允许我们检验泡沫的不同影响（羊群行为、异常波动和综合影响）。据我们所知，我们的新统计方法是现有文献中唯一可靠的量化资产价格泡沫的方法，尤其是在新兴市场。
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Statistical Finance        统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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