股市波动与宏观经济关联性的实证分析

发布时间：2018-05-27 20:31

本文选题：股市波动 + 宏观经济　；参考：《华南理工大学》2012年硕士论文

【摘要】：波动性是股票市场最本质的特征，股市波动的原因是复杂的，本文将影响股市价格变动的因素主要可分为三类：（1）宏观经济因素：包括经济增速、固定资产投资、消费品零售总额、进出口、货币供给、通货膨胀等（2）金融政策性因素，如股票交易规则变更、存款准备金率调整、基准利率的调整、印花税调整、领导人重要言论等（3）不可预期因素，包括自然灾害、战争、金融危机等“黑天鹅”事件。本文将研究宏观经济因素与股市波动之间的关联性，尝试从新的角度研究宏观经济对股市波动性的影响。首先从消费、投资、出口三方面选取宏观经济指标，定性研究了它们与股指走势的背离关系，再通过工业增加值增速与股指波动率的回归发现，两者的相关关系也十分弱，说明在现阶段中国股市是国民经济“晴雨表”的说法不成立。然后从动态和静态两个角度分析宏观经济与股市波动的关系。站在动态角度，通过主成分分析从指标体系中提取出两个主因子，分别解释为宏观经济因子和通货膨胀预期，它们能概括所选取指标信息的87%，再利用VAR模型研究两个因子与三个维度的股市波动率之间的动态交互关系。通过比较三个VAR模型发现：两因子与股指标准差之间的VAR(3)模型的结果最优，这三个变量及其滞后项可以解释股指波动58%的变化，并且三个变量存在交互影响关系。站在静态角度，从股利折现模型出发，，研究上证A股指数与公司盈利、无风险利率、股市风险溢价等三个基本面因素的关系，发现它们存在较弱的长期的均衡关系，三个指标也只能解释股指波动的37%。最后本文得出结论，中国股市仍然是政策市，它与宏观经济的关联性不高。股市受自身波动的影响最显著，其次是通货膨胀预期；上证A股指数与宏观经济基本面因素存在弱式的长期均衡关系。对于中国股市波动的特征，本文针对性地提出了破解政策市的建议。
[Abstract]:Volatility is the most essential characteristic of stock market . The reason of stock market fluctuation is complicated . The factors that affect the fluctuation of stock market price can be divided into three categories : ( 1 ) macro - economic factors : including economic growth , fixed asset investment , total retail sales of consumer goods , import and export , money supply , inflation and so on ( 2 ) financial policy factors , such as stock exchange rule change , reserve requirement ratio adjustment , benchmark interest rate adjustment , stamp duty adjustment , leader ' s important speech , etc . ( 3 ) Unanticipated factors , including natural disasters , wars , financial crises , etc .

First , from the three aspects of consumption , investment and export , the macro - economic indexes are selected qualitatively , their relationship with the trend of stock index is studied qualitatively , and the correlation between them is very weak through the regression of industrial added value growth rate and index fluctuation rate .

The relationship between macro - economy and stock market volatility is analyzed from two aspects : dynamic and static . Two main factors are extracted from the index system by principal component analysis . The dynamic interaction relation between two factors and stock market volatility of three dimensions is studied by means of VAR model .

In the end , the author concludes that China ' s stock market is still a policy market , which is not related to the macro - economy . The stock market is most affected by its own volatility , followed by inflation expectations .
There is a weak long - term equilibrium relationship between the A - share index and the macro - economic fundamentals .
【学位授予单位】：华南理工大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F123;F224

【参考文献】