本文提出一個以應時變動折現因子的股價現值模型，來檢定投機泡沫的存在性。 文中以線型化的現值模型導出存量與流量兩組設定式；不論在應時變動或固定的折現因子模 型中，這兩組設定式，剛好包含投機泡沫以及模型誤設的訊息。因此，我們可用它們來檢定 投機泡沫及模型誤設的存在與否。此外，當我們分別就不同折現因子存量設定式檢定單根時 ， 亦可透過比較它們之估計值的方法，來檢測應時變動折現率對股價影響的效果。 本文以 MSCI 資料庫中德、加、美等國之股價來做為檢定的對象， 證據顯示，模型有誤設現象，實 證結果亦支持無投機泡沫之假說，而這誤設現象可推論為股市之無套利行為不成立。另外， 證據亦顯示應時變動的折現因子僅能粗略的解釋加拿大一部份的股價變動，但不能解釋德國 與美國的股價行為。

　　　　　To test for the existence of a speculative bubble, I propose a present- value model of stock prices with time-varying discount factors. Two testable specifications-stock and flow- are derived with a linearized present-value model. In particular, these two specifications can capture rational bubbles and/or model misspecifications in both time-varying and constant discount rate models. They thus allow one not only to test for the existence of a speculative bubble, but also to examine the effect of time-varying discount factors on the behaviour of price by simply comparing the unit-root test statistic estimates for both models. Applying the two specifications to MSCI data sets for Germany, Canada, and the United States, brings forth evidence suggesting model misspecification, which can be interpreted as a failure of the no arbitrage condition in the stock market. The test results also support the no bubble hypothesis. Nevertheless, variations in discount factors may roughly explain the movements of stock prices for Canada, but not for the United States and Germany.