上证综指与我国宏观经济增长关系研究

发布时间：2018-06-26 08:53

本文选题：上证综指 + 宏观经济　；参考：《西北大学》2017年硕士论文

【摘要】：基于金融学理论中股票市场与宏观经济的相互作用机制,宏观经济发展对股市发展起着决定性作用,股票市场能够预测宏观经济运行方向,股市和经济存在相互关联、相互影响的机制的基本理论,运用多种计量经济学方法,包括协整检验、Granger因果检验和波动性溢出的GARCH-BEKK检验,本文分析了 1992—2016年我国上证综指收盘价的季度均值和实际季度国内生产总值GDP数据来得到结论,使用Eviews8.0和Winrats 8.0软件进行定量评测。经过分析,从均值看,我国股票市场的发展受到宏观经济的影响,但股票市场并不是宏观经济变动的直接原因,股票市场和宏观经济间不存在应有的领先滞后效应。通过检验股市收益率和宏观经济增长率的二阶矩间的波动性溢出效应得出,我国股市与宏观经济间具有波动性溢出,股票市场的收益率变动会对宏观经济的增长率变动产生影响,宏观经济的增长率变动也能对股市收益率变动产生进一步影响。因此,虽然宏观经济和股票市场的波动间存在着相互影响,但二者的均值间存在背离,股票市场不能担当宏观经济的“晴雨表”,造成该现象的原因是我国股票市场的发展不完善,制度不健全,监管不全面等。基于此,本文给出了相关的政策建议。
[Abstract]:Based on the interaction mechanism between stock market and macro economy in finance theory, the development of macro economy plays a decisive role in the development of stock market. The stock market can predict the direction of macro economy, and the stock market and economy are interrelated. The basic theory of interaction mechanism, using a variety of econometric methods, including cointegration test Granger causality test and volatility spillover GARCH-BEKK test, This paper analyzes the quarterly average of the closing price of the Shanghai Composite Index from 1992 to 2016 and the real quarterly GDP data to get the conclusion. The quantitative evaluation is carried out by using the software Eviews8.0 and Winrats 8.0. According to the analysis, the development of stock market in our country is influenced by the macro economy, but the stock market is not the direct reason of the macroeconomic change, and there is no leading lag effect between the stock market and the macro economy. By examining the volatility spillover effect between the stock market yield and the second moment of the macroeconomic growth rate, it is concluded that there is volatility spillover between the stock market and the macro economy in China. Changes in stock market yields will have an impact on macroeconomic growth rates, which can also have a further impact on stock market yields. Therefore, although there is interaction between macroeconomic and stock market fluctuations, there is a deviation between the mean values of the two and the stock market cannot act as a "barometer" of the macro economy. The causes of this phenomenon are imperfect development of stock market, imperfect system, imperfect supervision and so on. Based on this, this paper gives the relevant policy recommendations.
【学位授予单位】：西北大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51;F124.1

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