中国股市财富效应研究

发布时间：2018-03-20 23:29

本文选题：股市　切入点：消费　出处：《山东财经大学》2012年硕士论文　论文类型：学位论文

【摘要】：21世纪以来，我国股票市场伴随着经济的高速发展而迅猛成长，已成为现代金融市场中不可或缺的部分。在城镇居民的资产结构中股票占比逐年增加，于是股票市场的功能已不仅仅局限在实现资金融通、优化资源配置等方面，金融资产价格波动对宏观经济以及居民个人的影响日益突出。研究股市财富效应旨在揭示股票财富发生变动对居民消费支出带来的影响。本文采用规范分析和实证分析相结合的研究方法。在规范分析部分，本文首先对财富效应理论、消费函数理论和行为金融学理论进行了理论梳理，其次，在此基础上对股市财富效应传导机制进行分析，并探讨了股市财富效应的影响因素。在实证分析部分，本文选取2000年一季度—2011年三季度的城镇居民人均可支配收入、城镇居民人均消费支出和上证综合指数等季度数据，以LC—PM消费函数模型为基础，采用VAR计量模型，对中国股市财富效应存在与否进行实证检验。本文使用多空头市场的判断替代股市上涨与下跌的主观判断，对股市财富效应非对称性进行分析。本文的主要实证结论是：我国城镇居民消费与收入、股市规模之间存在着协整关系，即居民的股票财富量对其消费存在一个长期微弱的正效应。并且，我国股市财富效应存在较明显的非对称性。针对实证结论，本文分析制约中国股票市场的财富效应原因有四：一是中国股市缺乏长期投资价值，上市公司整体质量较差，公司治理和公司行为不规范，投资回报低。二是股票市场的深度和广度有限，使得股市的发展带来居民财富增加有限，无法有效地发挥股市的财富效应。三是股票市场的投机色彩浓重，对居民消费产生了挤出效应，抑制了股市的财富效应。四是我国股市正处于“新兴+转轨”的阶段，，其阶段性质决定了我国股市财富效应较弱。并结合实际提出了提高我国股市财富效应的几点建议。
[Abstract]:Since 21th century, the stock market of our country has been growing rapidly with the rapid development of economy, which has become an indispensable part of the modern financial market. As a result, the functions of the stock market are not limited to the realization of financing, optimizing the allocation of resources, and so on. The impact of financial asset price fluctuations on the macro economy and individual residents is increasingly prominent. The study of the stock market wealth effect aims to reveal the impact of changes in stock wealth on consumer spending. In the part of normative analysis, firstly, the theory of wealth effect, the theory of consumption function and the theory of behavioral finance are analyzed. On this basis, the transmission mechanism of stock market wealth effect is analyzed, and the influencing factors of stock market wealth effect are discussed. In the part of empirical analysis, this paper selects the quarterly data of the per capita disposable income of urban residents, the per capita consumption expenditure of urban residents and the Shanghai Composite Index from 2000 to 2011, based on the LC-PM consumption function model. This paper uses the VAR econometric model to test the existence or not of the wealth effect in Chinese stock market. This paper uses the judgment of multi-short market to replace the subjective judgment of rising and falling of stock market, and analyzes the asymmetry of wealth effect of stock market. The main empirical conclusions of this paper are as follows: there is a cointegration relationship between the consumption and income of urban residents and the scale of the stock market, that is, the stock wealth of the residents has a long-term weak positive effect on their consumption. The wealth effect of Chinese stock market has obvious asymmetry. There are four reasons for the wealth effect in China's stock market: first, the stock market lacks long-term investment value, the overall quality of listed companies is poor, corporate governance and corporate behavior are not standardized. Second, the depth and breadth of the stock market is limited, which makes the development of the stock market lead to limited increase in wealth for residents, and it is unable to give full play to the wealth effect of the stock market effectively. Third, the speculation in the stock market is very strong. The crowding-out effect on residents' consumption has restrained the wealth effect of the stock market. Fourth, China's stock market is in the stage of "emerging transition". The property of the stage determines that the wealth effect of China's stock market is weak, and some suggestions for improving the wealth effect of China's stock market are put forward in combination with the practice.
【学位授予单位】：山东财经大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F224

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