中国股票市场财富效应研究

发布时间：2018-11-29 10:31

【摘要】： 股票市场的财富效应是指股票所代表的虚拟财富的增长与下降对人们的消费,进而对经济运行所产生的影响。股市繁荣对消费的影响表现为:一是直接增加股票持有者的财富,二是增加居民的消费信心,影响短期边际消费倾向,形成正财富效应。而持续下跌的股市则形成负财富效应。本文的理论分析部分首先分析了股票市场财富效应的传导机制。然后在回顾持久收入、生命周期消费函数理论和行为金融学理论的基础上,总结出分析股票市场财富效应的消费函数模型。文章实证部分首先分析了我国股价波动如何影响消费者信心,进而影响家庭消费决策的机制。实证结果表明在我国股价波动是影响消费者信心的因素之一,但消费者信心影响消费者消费支出的传导渠道不通畅。其次根据加入股市财富的消费函数模型,采用基于VAR系统的处理非平稳时间序列回归的协整理论、误差修正分析和脉冲响应函数,利用2000—2007年季度数据考察股票价格、房地产价格和居民收入及消费支出的长期均衡和短期动态调整情况。实证结果表明:目前影响我国消费需求的主要因素还是可支配收入,促进居民收入增长,稳定收入预期还是促进我国消费增长的根本途径。股票市场价格变动对居民的消费支出带来一定的正财富效应,但股票市场的不完善制约了财富效应的发挥。针对造成我国股票市场弱财富效应的因素,本文提出一些政策建议。
[Abstract]:The wealth effect of the stock market refers to the influence of the growth and decline of the virtual wealth represented by the stock market on people's consumption and then on the economic operation. The impact of stock market boom on consumption is as follows: first, directly increasing the wealth of stockholders, second, increasing residents' consumption confidence, influencing short-term marginal consumption tendency, forming positive wealth effect. And the stock market that keeps falling forms negative wealth effect. The theoretical analysis of this paper first analyzes the transmission mechanism of the wealth effect in the stock market. Then, on the basis of reviewing the theory of lasting income, life-cycle consumption function and behavioral finance, the consumption function model of analyzing the wealth effect of stock market is summarized. The empirical part first analyzes how the fluctuation of stock price affects consumer confidence and then the mechanism of household consumption decision. The empirical results show that the fluctuation of stock price is one of the factors affecting consumer confidence in China, but the transmission channel of consumer expenditure is not smooth. Secondly, according to the consumption function model of adding stock market wealth, using the co-integration theory based on VAR system to deal with non-stationary time series regression, error correction analysis and impulse response function, using the quarter data of 2000-2007 to investigate the stock price. Real estate prices and household income and consumer spending long-term balance and short-term dynamic adjustment. The empirical results show that: at present, the main factors affecting consumption demand in China are disposable income, promoting the growth of residents' income, and stabilizing income expectation as the fundamental way to promote the growth of consumption in China. The change of stock market price brings positive wealth effect to residents' consumption expenditure, but the imperfection of stock market restricts the exertion of wealth effect. In view of the factors that cause the weak wealth effect in China's stock market, this paper puts forward some policy suggestions.
【学位授予单位】：山东大学
【学位级别】：硕士
【学位授予年份】：2009
【分类号】：F224;F832.51

【参考文献】