中国股票市场发展与经济增长关系的实证研究

发布时间：2018-01-10 23:00

本文关键词：中国股票市场发展与经济增长关系的实证研究　出处：《东北财经大学》2012年硕士论文　论文类型：学位论文

【摘要】：我国改革开放已经经过了30多年的历程,在这30多年中经济发展保持了较高的增长速度,其中金融市场发挥了不小的作用,然而在我国经济持续高速增长的同时,也出现了资本和劳动过剩的问题,这说明,在我国的经济发展中,资本和劳动组合的配置功能出现了一定的问题,这与金融发展有关。目前我国银行业经过了多次改革,已经基本确立了较完善的治理结构和较高的运行效率。另一方面,我国的股票市场才走过了二十个年头,发展还不成熟,与实体经济脱节严重,其发展严重滞后于西方国家的股票市场。股票市场作为未来金融市场的主体,其对经济增长的影响如何是一个需要讨论的很现实的也是很迫切的问题。本文首先在引言中阐明选题的背景,进一步提出本文想要探讨的问题,然后从多方面回顾国内和国外学者对该问题的研究方法以及成果,总结了众多学者对于该问题的分歧,以及各自所持的观点及依据。其次本文介绍了股票市场的基本功能,由于股票市场的普遍适用性,本文将股票市场的基本功能归纳为五个方面,第一、提供流动性；第二、分散风险；第三、获取公司信息；第四、改善公司治理；第五、动员社会储蓄。然后本文从路径分析的角度,探讨了其可能促进经济增长的三个路径：第一、改变储蓄与投资之间转化的比例ω；第二、提高资本生产效率A；第三、改变私人储蓄率S；从传导机制的角度,探讨了其可能影响经济增长的三个渠道：第一、财富效应渠道；第二、投资效应渠道；第三、资产负债表渠道。再次本文从实证的角度开始探讨我国股票市场与经济增长的关系。本文首先阐明了经济增长的内涵和能体现股票市场发展的三个指标资本化率、流动性和波动性。选取2000-2011年我国实际GDP、资本化率、波动性和流动性四个指标的季度数据,以实际GDP为因变量,以资本化率、波动性和流动性为自变量建立VAR模型,运用约翰森协整检验、格兰杰因果检验和脉冲响应分析等多种计量分析方法,考察股票市场发展对经济增长的影响和作用机制。通过约翰森协整检验发现,长期内两者之间有一定的相互关系。由格兰杰因果检验得到：表示股票市场规模的指标资本化率与实际GDP存在双向格兰杰因果关系；股票市场波动性指标和股票市场流动性指标与实际GDP存在单向的格兰杰因果关系；股票市场波动性指标和股票市场流动性指标是实际GDP的格兰杰原因；而实际GDP却不是股票市场波动性指标和股票市场流动性指标的格兰杰原因。脉冲响应分析结果表明：股票市场发展与我国经济增长弱相关,股票市场规模、流动性和波动性对经济增长的影响较小,经济增长对股票市场规模的影响是正向的。最后本文针对股票市场发展与经济增长关系的实证结果,进行了初步分析。实证结果中的弱相关性,可能是由于股票市场在监督上市公司和提供有用信息方面发挥的作用是有限的,其资源配置效率还有待提高。原因归纳为以下几点：第一、上市公司质量不高；第二、股票市场存在较强的投机行为；第三、非流通股的存在；第四、政府的过度干预对股票市场的稳定性产生严重影响。由以上的分析我们看到我国股票市场在总体上与我国经济增长还是有正向关系的,但是股票市场发挥的还是基础的筹融资功能,本文从以下四个方面提出了政策建议：第一、转变我国股市的定位；第二、扩大股市规模；第三、加强监管遏制投机；第四、防范金融危机。相信随着我国股票市场逐步的走向成熟化、规范化和国际化后,将会在更大程度上促进我国经济的增长。
[Abstract]:China's reform and opening up has been 30 years of history, the economic development in the 30 years to maintain a high growth rate, the financial market has played an important role, but in China's sustained rapid economic growth at the same time, there is a problem of capital and labor surplus, this shows that in our country in the economic development, the combination of capital and labor allocation function of some problems with the financial development. At present, China's banking industry after several reforms, has established the basic operating efficiency is high and the perfect governance structure. On the other hand, China's stock market has been over twenty years. Development is not mature, the serious gap between the real economy, its development lags behind western countries stock market. The stock market as the subject of the future of the financial market, it is a need to discuss the impact on economic growth It's real and urgent.
This paper first explains the background in the introduction, this paper further proposes to investigate the problem, and then review the research methods of domestic and foreign scholars on this issue and results from many aspects, summed up many scholars about the problem and point of view and differences, according to their respective holdings.
Secondly, this paper introduces the basic functions of the stock market, due to the general applicability of the stock market, the stock market's basic functions include five aspects, first, to provide liquidity; second, reduce risk; third, to obtain the company's information; fourth, improve the corporate governance; the fifth, and then from the mobilization of social savings. Path analysis, discusses the three path may promote economic growth: first, change between savings and investment conversion ratio second, omega; to improve the capital efficiency of A; third, change the private savings rate S; from the transmission mechanism perspective, discusses the three channels are likely to affect the economic growth: the first second, the wealth effect, investment effect channel; channel; third, the balance sheet channel.
Again, from the empirical point of view began to explore the relationship between stock market and economic growth in China. The three indicators of capitalization rate this paper first clarifies the connotation of economic growth and can reflect the development of stock market, liquidity and volatility. By selecting the actual GDP 2000-2011 in our country, the capitalization rate, quarterly data of four index fluctuations and liquidity, real GDP as the dependent variable, the capitalization rate, volatility and liquidity to establish VAR model as independent variables, using the Johannsen cointegration test, Grainger causality test and impulse response analysis and other quantitative analysis methods to study the development of the stock market's impact on economic growth and the mechanism of action by Johannsen Co. The inspection found that there is a definite relation between the two. In the long term by Grainger causality test: the size of the stock market index capitalization rate and the actual existence of GDP bidirectional Glenn Jie Yin Fruit; there is a unidirectional causal relationship between Grainger index of stock market liquidity volatility and stock market index and the actual GDP index; liquidity of stock market volatility index and the stock market is the actual causes of Grainger GDP; and GDP is not the actual stock market volatility refers to the liquidity of the underlying reason Grainger index and the stock market pulse. Response analysis shows that the stock market development and economic growth of China's weak correlation, the size of the stock market, liquidity and volatility had little effect on economic growth, the impact of economic growth on the stock market scale is positive.
Finally, according to the empirical results of the relationship between stock market development and economic growth, are analyzed. The weak correlation between the empirical results, may be due to the stock market play in the supervision of listed companies and to provide useful information for the role is limited, the resource allocation efficiency needs to be improved. The reason is summarized as follows: first and the quality of listed companies is not high; second, the stock market has strong speculation; third, the existence of non tradable shares; fourth, seriously affect the stability of excessive government intervention in the stock market. From the above analysis, we can see that China's stock market in general and China's economic growth is still positive relationship. But the stock market play based financing function, this paper puts forward some policy suggestions from the following four aspects: first, the transformation of China's stock market positioning; second, expand Stock market scale; third, strengthen supervision and curb speculation; fourth, guard against financial crisis. I believe that with the gradual maturity of China's stock market, normalization and internationalization will promote China's economic growth to a greater extent.

【学位授予单位】：东北财经大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F224;F832.51;F124

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