不同市态下股票收益对货币需求的影响研究

发布时间：2018-12-14 05:21

【摘要】：股票市场是金融市场的重要组成部分,是投资者进行资产选择的主要场所之一,投资者依据金融市场上不同资产的收益率状况来选择资产的结构和数量,因此,股票收益率的变化会使投资者持有货币的数量和分配结构发生改变,进而影响货币需求。此外,由于投资者在不同股市状态下的偏好、认知以及情感等主观因素不尽相同,股票收益率变动与货币需求的影响关系也会不尽一致。本文从股票市场着眼,依托货币需求理论和行为金融学的研究成果,选用样本区间为2001.06-2010.12的相关月度数据,采用非参数法将其划分成“牛市”和“熊市”,并选择其中两个最具有代表性的市态区间-熊市：2001.07-2005.05；牛市：2005.05-2007.11,通过构建向量自回归(VAR)模型和向量误差修正模型(VECM),运用协整分析、脉冲响应函数以及方差分解,实证研究了不同市态下股票收益率变动对货币需求的产生的长期和短期影响。实证结果表明,在不同的市态下,股票收益率变动对货币需求产生了不同的影响,呈现出差异性。从影响方向上看：在熊市状态下,协整分析表明股票收益率与货币需求呈负向关系,所以长期来看,股票收益率的下降会导致货币需求增加；误差修正结果也表明,在短期内,股票收益率变动对货币需求的调整机制存在,当二者关系偏离均衡状态时,会以0.67%的速度调整偏离均衡误差。在牛市状态下,协整分析表明股票收益率与货币需求呈正向关系,股票收益率上升会导致货币需求增加；误差修正结果表明,短期内,股票收益率变动对货币需求产生了调节作用,会以4.65%的速率调整偏离误差。从影响程度上看：协整分析表明,熊市状态下股票收益率对货币需求的影响系数(绝对值)为0.53,远远小于牛市状态下的系数(绝对值)2.77,说明股票收益率在牛市状态对货币需求的影响强度远大于熊市；脉冲响应函数和方差分解的结果也表明,牛市状态时,股票收益率对货币需求变化的贡献度大于熊市状态,这说明在不同市态下,股票收益对货币需求的影响具有不对称性。
[Abstract]:Stock market is an important part of financial market and one of the main places for investors to choose assets. Investors choose the structure and quantity of assets according to the rate of return of different assets in the financial market. The change of stock yield will change the amount of money held by investors and the distribution structure, and then affect the demand for money. In addition, due to the different subjective factors such as preference, cognition and emotion of investors in different stock market states, the relationship between the change of stock yield and the demand for money will not be consistent. Based on the research results of monetary demand theory and behavioral finance, this paper selects the monthly data with sample interval of 2001.06-2010.12, and divides them into "bull market" and "bear market" by non-parametric method. And select two of the most representative market state interval-bear market: 2001.07-2005.05; Bull Market: 2005 / 05 / 2007 / 11, by constructing vector autoregressive (VAR) model and vector error correction model (VECM), using cointegration analysis, impulse response function and variance decomposition, This paper empirically studies the long-and short-term effects of stock return on the generation of monetary demand under different market conditions. The empirical results show that under different market conditions, the change of stock yield has different effects on the demand for money, showing differences. From the point of view of influence direction: under the condition of bear market, cointegration analysis shows that the stock yield has a negative relationship with the money demand, so in the long run, the decline of the stock yield will lead to the increase of the money demand; The result of error correction also shows that, in the short term, the mechanism of adjusting the demand for money by stock yield changes exists, and when the relationship between them deviates from the equilibrium state, the deviation error will be adjusted at a speed of 0.67%. In the bull market, the cointegration analysis shows that the stock yield is positively related to the demand for money, and the increase of the stock yield will lead to the increase of the demand for money. The error correction results show that, in the short term, the stock yield has a moderating effect on the demand for money, and the deviation error will be adjusted at a rate of 4.65%. In terms of influence degree, cointegration analysis shows that the influence coefficient (absolute value) of stock yield on money demand in bear market is 0.53, which is much smaller than that in bull market (absolute value) 2.77. It shows that the impact of stock yield on monetary demand in bull market is much stronger than that in bear market. The results of impulse response function and variance decomposition also show that the contribution of stock yield to the change of monetary demand in bull market is greater than that of bear market, which indicates that the influence of stock return on money demand is asymmetric under different market conditions.
【学位授予单位】：山东大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F224

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