So we apply momentum threshold autoregressive model (MTAR) in this paper to analyze bubble-driven run-ups in stock prices followed by a crash in a cointegration framework with asymmetric adjustment.

• 因此，本文引入MTAR模型，通过检验协整残差的非对称调整假设，对我国股票市场发展的不同阶段是否存在泡沫现象进行对比分析。