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1 ( ) :,, : (1) ; (2) ; (3) ; (4) ; (5) ; (6),,, : -,,,,,,, 90,,,, 20 60,, :,, ;,,,,,,,,,,,,,,() (), 3 (: ),self2fulfilling,,,,, 33

2 :, :,? :,, ;,,,,,, :,Diba and Grossman (1988), (limited liability),,,,,,diba and Grossman (1988),,,, 0, 0,, 0, 0Froot and Obstfeld (1991), (economic fundamentals) ( ), (intrinsic bubble),tirole (1982),,,,,,,,, Tirole (1982),,,,,,,,,,,,,,,? Ti2 role (1985) Weil (1987) (OLG),,,,,,,,,,,,,, Pareto,,,,, Diba and Grossman (1988) p t F t B t : p t = B t + F t, F t,e t B t + j = - j B t,< 1 t B t, E t F t + j E t B t + j,ep t + j j Froot and Obstfeld (1991) p t B t D t : p t = B t + F t, F t kd t, B t = cd t 34

3 (2001),,,,,, Pareto ;,,,, : (1),,, ; (2), ; (3), ; (4),; (5),,,, 2001,,,,,,, ; ; ; Diba and Grossman (1988), E t 6 - t u ( c),0 < < 1 (1) = t,{ c},,, u ( ), E t t 1, d; y,p s, c+ p( s+1 - s) y+ ds p t u ( c t ) = E t [ ( p t +1 + d t +1 ) u ( c t +1 ) ] (2) (2), t, : (3) (2), E t q t +1 c= y+ d (3) q t = - E t [ u ( y t +1 + d t +1 ) d t +1 ] (4) q t u ( y t + d t ) p t (4) q t 1, E t [ u ( y t d t + 1 ) 35

4 : d t + 1 ] - 1,q t lim T (4) q t,f t, T+1 E t [ q t + T+1 ] = 0 (5) F t = 6 E t [ u ( y t + j + d t + j ) d t + j ] (6) (5), -,,,(6) : (6) (4), (5) (5),(4) q t (4) q t q t = B t + F t (7) B t t,q t - F t, - (7) (4), B t E t B t B t = 0 (8),E t B t + j ( j > 0),, (8) E t F t +1 = - 1 F t - E t [ u ( y t +1 + d t +1 ) d t +1 ] E t [ q t +1 ] = E t [ B t +1 + F t +1 ] = - 1 B t F t - E t [ u ( y t +1 + d t +1 ) d t +1 ] = - 1 q t - E t [ u ( y t +1 + d t +1 ) d t +1 ],,,(4),,( ),, (4),, (4) (8),(7) (5) (8) :j > 0, E t B t + j = - j B t (9) ,,, :,,,, (2002), , %, ( ) , , %47146 %, 20,, ,3 36

5 (9), B t = - 1 B 0 (10) (8),0, B t = - t B 0 < B t + 1 = - ( t + 1) B 0,,,,,,,,,,, ( ),,,,,,,,,,, (self2fulfilling),,,,,,,,, : (9) E t z t +1 = 0 B t +1 = - 1 B t + z 1 - t +1 t +1 z t t +1 (11) t +1 t + 1, t + 1, , - 1-1, z t + 1 t,,,0, t 7 (1 - s ) (12) s = 1 (12),t,,,, t,,,,,,,,,,, : t

6 :, :, (14), p t u ( c t ) E t [ ( p t +1 + d t +1 ) u ( c t +1 ) ] (13) E t q t q t - E t [ u ( y t +1 + d t +1 ) d t +1 ] (14) q t E t q t +1 + E t [ u ( y t +1 + d t +1 ) d t +1 ] (15) q t F t = 6 E t [ u ( y t + j + d t + j ) d t + j ] (16),,,,,,,,,,,,,,,,, :,,Sharpe, Alexander and Bailey (1999),,,, ( ),,,,,,,(2) t p t = E t [ ( p t +1 + d t +1 ) ] (17) p t = 6 E t [ d t + j ] + B t (18) B t (8),,, B t > 0,, 6 j E t [ d t + j ],, p t = 6 j E t [ d t + j ] (19),, Shleifer and Vishny (1997) Xiong (2001), :,,,,, 38

7 2002 7,,,,,, ( ),,,,,,,,, (investment horizon),,-,, 20 (,,2 3,-,),,, (18),,, :, (17), d t +1 = e + 1 d t (20),,{ t + 1 } 0, 2, (6) - 1 e+ 2 2 k = 1 - e F t = E t 6 j d t + j = 6 2,-, B ( d t ) C (22) (8) : j e e j dt = kd t (21) 2 < 1 B ( d t ) = cd t (22) ln= 0 E t [ B ( d t +1 ) ] = E t [ cd t e (+ t+1 ) ] = cd (22) (7) (21) (22), : t e p t p ( d t ) = F t + B ( d t ) = kd t + cd t = - 1 B ( d t ) e < 1 1, (explosive) 39

8 : (22),(8), e < 1,,,,,?, (,1999 ;,2001),,,,, 11,,, -,,, 21, 31,, 41,, 51, 61, : (1),,, ; (2), ; (3), ; (4), ; (5),,,,, Barberis, Shleifer, and Vishny (1998), Daniel, Hirshleifer, and Subrahmanyam (1998), Shiller (2000,2001), Shleifer (2000),,,,, 2001,,,, :,, ( 62 ) 40

9 :,,, WTO,,,,, :,,,,,,,,,,50,,, ( : ) ( : ) ( 40 ),2001 :, 4,2002 :, 3,2001 :, 10,1999 :, 2 Barberis, N., Shleifer, A., and Vishny, R.,1998, A Model of Investor Sentiment, Journal of Financial Economics, 49 : Daniel, K., Hirshleifer, D., and Subrahmanyam, A., 1998,Investor Psychology and Security Market Vnder2and Overreactions, Journal of Finance, 53 : Diba, B. T. And Grossman, H. I.,1988,The Theory of Rational Bubbles in Stock Prices, The Economic Journal, 98 : Froot, K. A. and Obstfeld, M.,1991, Intrinsic Bubbles : The Case of Stock Prices, The American Economic Review, 81 (5) : Sharpe, W. F., Alexander, G. J. and Bailey, J. V.,1999, Investments, 6th edition, Prentice Hall, Inc. Shleifer, A.,2000, Inefficient Markets, Oxford University Press, Oxford England. Shleifer, A. and Vishny, R. W., 1997,The Limits of Arbitrage, Journal of Finance, 52 (1) : Shiller, R. J., Bubbles,2001, Human Judgment, and Expert Opinion, Cowles Foundation Discussion Paper, No ,2000,Irrational Exuberance, Princeton University Press. Tirole, J., 1982,On the Possibility of Speculation under Rational Expectations, Econometrica, 50 (5) : ,1985,Asset Bubbles and Overlapping Generations, Econometrica, 53 (6) : Weil, P., 1987,Confidence and the Real Value of Money in an Overlapping Generations Economy, Quarterly Journal of Economics, 102 (1) : Xiong, W.,2001, Convergence Trading with Wealth Effects : an Amplification Mechanism in Financial Markets, Journal of Financial Econom2 ics, 62 : ( : ) ( : ) 62

10 Analyses to China s Hi2tech Patent Application and Innovation Research Team ( Institute of Finance and Trade Economics,CASS) By the data analyses to hi2tech patent application by and grant to domestic &foreign citizens,this paper tried to explore the dynamics of patent composition for both application and grant. In the meantime,by the econometric analyses to the relationship among China s industrial market sizes,importations and patent applications from both domestic and foreign,we tried to demonstrate the effectiveness of hi2tech patent protection,the behaviors of patent applications and the characteristics of different industrial technologies,to show the dynamic relations be2 tween international technological innovation and foreign application,and to discuss the possible connections be2 tween external knowledge and independent innovation. Key Words : Hi2tech ; Patent ; Foreign Application ; Innovation JEL Classification :O330,P510 The Rational Bubbles in Chinese Stock Market Zhou Chunsheng & Yang Yunhong ( Guanghua School of Management,Peking university) We study in this article the existence of bubbles in China s stock market. We argue that the bubbles in this market could be rational and that the following factors might have contributed to the existence of the rational bubbles in asset prices : (1) The strict rules imposed on stock listing ; (2) The lack of choices of financial in2 struments available to investors ; (3) The interference of China s government to asset prices ; (4) The non2ex2 istence of short - sale mechanism ; (5) The inefficiency of arbitrage mechanism ; and (6) Low dividend pay2 ments to shareholders of China s public companies. Based on our analyses, we make several recommendations on dealing with the bubbles in asset prices. Key Words : Rational bubbles ; Market2fundamental value JEL Classification : G140, E440 90

: Mei Wu Zhou (2005),, : (1)

: 3 ( 100871) : Mei Wu Zhou (2005),, : (1),,; (2) 0,, ; (3),, ; (4),;;,, ; (5), :,,,,,,,,,,,,,,,,,,,,,,, Hart (1977), Hart (1977),Hart Kreps(1986),Vila (1989),Allen Gale (1992),Bagnoli Lipman (1996), Gerard