近十年來，財務學者對於泡沫理論的研究，有相當多的進展。但是受限於市場基要與泡沫不易精確區分，實證研究仍然停留在檢驗泡沫是否存在。理論發展上，亦忽略泡沫與市場基要關係的研究。本文在理論上以隨機泡沫模型深入探討泡沫的型態與特性，特別是針對泡沫所引起的過度反應與多個泡沫並存的型態，有進一步的討論。實證上結合了封閉型基金的研究，以台灣股市四家封閉型基金自民國七十八年底至七十九年底，由折價而大幅溢價再回歸折價的過程作為研究標的。實證結果顯示該時期之溢價行為與泡沫理論的預測大致相令。在泡沫未破滅前，泡沫報酬率顯著高於市場基要報酬率，其時間數列變化，則類似於多個泡沫並存型態。在資產價格變動性方面，泡沫期基金股價之變動性顯著高於正常期。變動性增高的原因是因為泡沫生滅所引起非系統風險增加，以及過度反應所引起的系統風險增加。綜合而言，泡沫減弱了基金股價與其所持投資組合的關係。

Since it is difficult to distinguish market fundamentals from bubbles in the asset prices, the prior empirical studies on bubble research primarily focused on whether the price of an asset contains bubble. For the same rea-son, the theoreti-cal development has not addressed the issue of if bubble does exist, what should its relationship be with the market funda- mental. This paper first develop a model of stochastic bubble. Hypotheses of the re-lationships be tween the bubble and the market fundamentals are derived. Assuming the premiums on thefunds' shares are bubble, it then test em-pirically whether the1989-1990 hyper speculation on the four closed-end funds in the Taiwan Stock Exchange is consistent with the predictions of the theoretical model. The empirical results shows that the return on bubble was significantly higher than the return on market fundamental while bubble lasted. The volatility of share prices in the bubble period is significantly higher thanthe volatility in the control period. Consistent with the predictions of overactions caused by bubble, the systematic risk of funds shares were increased inthe bubble period. Overall, the behavior of funds' share premiums in the sample period can best be explained by a multiple stochastic bubblemodel.