中文摘要：

基于套利者提前获取股票价值低估等信息假设,在理性均衡分析框架下,探讨套利者导致泡沫的内在机制。主要结论是：在有噪声情况下,股票价格是套利者比例的增函数,当套利者达到一定比例后,股票价格将超过真实价值,套利者的＂拥挤交易＂导致价格出现明显泡沫;经验证据表明机构投资者的拥挤交易是蓝筹股泡沫产生的重要原因。

英文摘要：

Based on the information hypothesis on receiving undervalued stocks of arbitrageurs and a rational equilibrium analysis framework,we study the internal mechanism of the bubble and find that stock price is an increasing function of the proportion of arbitrageurs when there is noise.But when arbitrageurs reach a certain proportion,stock price will supass the real value,and the crowed trading of arbitrageurs will lead to obvious bubble.The empirical evidence suggests that the crowding trade of institutional investors is the important reason why blue chip bubble is coming into being.