我国股市周期与宏观经济周期的关联性研究

发布时间：2018-02-12 17:21

本文关键词： 股市周期经济周期 VAR模型 Johnson协整检验　出处：《西南交通大学》2016年硕士论文　论文类型：学位论文

【摘要】：对现代金融市场而言,股票市场是其不可或缺的重要组成部分,一直被视为经济发展的“晴雨表”。股票市场的发展对于经济的增长、市场机制的改革以及企业的成长有重要作用。对现代金融市场而言,表明股市周期与经济周期关系密切,经济自身的周期性运行是引起股市波动的最根本的原因。从理论上而言,股票市场的运行规律与宏观经济的运行规律应该具有一致性,宏观经济的走势变化会引起股市的上下波动,而股市的周期性变动又可以提前反应经济的走势,进而影响国民经济的发展方向。所以对经济周期与股市周期存在的关联性分析可以帮助我们准确把握经济和股市运行的规律,也为政府制定宏观调控政策和促进股市健康发展提供了理论基础。本文选取了GDP的季度增长率和上证指数季度收益率来研究股票周期与经济周期。先是对GDP季度数据进行Census-X12处理去掉季节因素与不规则因素的干扰,然后用H-P滤波将趋势因素与周期因素分离,得到经济周期图,对上证指数用H-P滤波将趋势因素与周期因素分离,得到股市周期图并对图形进行初步的分析,得到二者在长期内具有一定程度的一致性。然后对二者进行实证分析,实证分析部分是先从完整区间进行分析,然后对子期间进行分析。在完整期间中,先是要对GDP增长率与股指收益率时间序列分别进行ADF检验,以此来确定两组序列的平稳性,紧接着建立向量自回归VAR模型,然后对模型进行格兰杰因果检验、脉冲分析、方差分析,得到在长期内股市周期可以引导经济周期,但是经济周期对股市周期的影响却不明显。在子期间的研究中发现,在子期间中经济周期与股市周期在长期内不存在协整关系,即二者的运行出现了背离。而且以上分析发现,二者虽然在长期内有一定的趋同性,但是在个别时间内也存在着背离。本文重点分析了我国股市周期与经济周期发生背离的原因,从我国经济增长存在的原因,股市运行中自身的不足、政府的干预以及监管制度和投资者的投机行为、心理预期等方面进行了详细的研究。最后,对于我国经济的增长,股市的健康有序发展提出了建议,希望我国股市能够有效的发挥经济“晴雨表”的作用,同时也指出了本文的不足之处。
[Abstract]:For the modern financial market, the stock market is an indispensable part of it, and has been regarded as a "barometer" of economic development. The reform of market mechanisms and the growth of enterprises play an important role. For modern financial markets, the stock market cycle is closely related to the economic cycle. The cyclical operation of the economy itself is the most fundamental reason for the fluctuation of the stock market. In theory, the operation law of the stock market should be consistent with that of the macro economy. Changes in the trend of the macro economy will cause fluctuations in the stock market, and the cyclical changes in the stock market can reflect the trend of the economy in advance. Therefore, the analysis of the relationship between the economic cycle and the stock market cycle can help us accurately grasp the laws of the economy and the stock market. This paper selects the quarterly growth rate of GDP and the quarterly yield of Shanghai Stock Exchange Index to study the stock cycle and economic cycle. The data were processed with Census-X12 to remove the interference of seasonal factors and irregular factors. Then the trend factor and the cycle factor are separated by H-P filter, and the business cycle chart is obtained, and the trend factor and the periodic factor are separated by H-P filter for the index of Shanghai Stock Exchange, and the stock market cycle chart is obtained and the graph is analyzed preliminarily. The results show that there is a certain degree of consistency between them in the long run. Then the empirical analysis of the two is carried out. The part of the empirical analysis is to analyze them from the complete interval first, and then to analyze the sub-period. First, the GDP growth rate and the time series of stock index yield are tested by ADF to determine the stationarity of the two groups of sequences, then the vector autoregressive VAR model is established, and then the Granger causality test and pulse analysis are carried out on the model. The variance analysis shows that the stock market cycle can guide the economic cycle in the long run, but the influence of the business cycle on the stock market cycle is not obvious. There is no cointegration relationship between the business cycle and the stock market cycle in the long run, that is, there is a deviation from the operation of the two cycles, and the above analysis shows that although there is some convergence between the two periods in the long run, However, there are deviations in a few times. This paper focuses on the reasons for the deviation between the stock market cycle and the economic cycle in China, the reasons for the existence of economic growth in our country, and the shortcomings of the stock market itself in its operation. Government intervention, regulatory system and investors' speculative behavior, psychological expectations and other aspects have been studied in detail. Finally, suggestions for the healthy and orderly development of China's economy and stock market have been put forward. We hope that our stock market can effectively play the role of economic barometer, but also point out the shortcomings of this paper.
【学位授予单位】：西南交通大学
【学位级别】：硕士
【学位授予年份】：2016
【分类号】：F832.51;F124.8

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