宏观经济变量对多层次股票市场的影响研究

发布时间：2018-01-31 03:23

本文关键词： 宏观经济货币政策多层次股票市场　出处：《天津财经大学》2014年硕士论文　论文类型：学位论文

【摘要】：“金融深化”理论认为,金融体制与经济发展之间存在相互推动和相互制约的关系,健全的金融体制和发展良好的经济能够形成相互促进的良性循环,我国经济的发展过程也践行了这一理论,我国股票市场也是伴随着我国经济的快速发展而建立的。从1990年、1991年上海证券交易所和深圳证券交易所成立,到2004年中小板市场成立和2009年创业板市场成立,我国在建设多层次股票市场的进程中迈出了坚实的步伐。相对于主板市场,中小板和创业板市场由于上市公司以中小型企业和创新创业型高科技企业为主,更容易受到各种因素的影响。区分宏观经济变量对各层次股票市场的影响,能更好的为政府制定更具针对性的政策环境来促进多层次股票市场的发展和完善提供参考。文章首先对国内外研究文献进行了回顾,对宏观经济影响股票市场的不同观点进行了归纳总结。其次文章对宏观经济影响股票市场的理论基础进行了分析,其中宏观经济会通过经济增长效应、财政政策效应、消费和储蓄效应、通货膨胀效应和汇率效应对股票市场产生影响,与股票市场关系更密切的货币政策会通过货币供应量和利率两个途径对股票市场产生影响。之后文章对宏观经济变量进行主成分分析,得出宏观经济变量的三个主成分因子,再用主成分因子分别和上证指数、中小板指数、创业板指数建立VAR模型,通过脉冲响应来分析宏观经济变量对各层次股票市场不同的影响。得出的结论是,宏观经济状况和货币政策会对主板和中小板造成更深远的影响,而对创业板的影响是短期的；投资因子对中小板和创业板市场影响较大,对主板市场则几乎没有影响。最后针对文章的研究结果,分析了其背后的原因并提出了相应的政策建议。
[Abstract]:The theory of "financial deepening" holds that the relationship between financial system and economic development is mutually promoted and restricted, and a sound financial system and a well-developed economy can form a virtuous cycle of mutual promotion. This theory has been practiced in the process of economic development in our country, and the stock market of our country has been established with the rapid development of our economy since 1990. The Shanghai Stock Exchange and Shenzhen Stock Exchange were established in 1991, and the small and medium-sized market was established in 2004 and the gem market was set up in 2009. China has made a solid step in the process of building a multi-level stock market. Compared with the main board market, the small and medium-sized market and the gem market are dominated by small and medium-sized enterprises and innovative high-technology enterprises. More vulnerable to the impact of a variety of factors. Distinguish the impact of macroeconomic variables on the stock market at all levels. Can better for the government to formulate a more targeted policy environment to promote the development and improvement of the multi-level stock market. Firstly, the article reviews the domestic and foreign research literature. This paper summarizes the different views of the macroeconomic impact on the stock market. Secondly, the article analyzes the theoretical basis of the macroeconomic impact on the stock market, in which the macroeconomic effect will be through economic growth. Fiscal policy effects, consumption and savings effects, inflation effects and exchange rate effects have an impact on the stock market. The monetary policy, which is more closely related to the stock market, will influence the stock market through the two ways of money supply and interest rate. Get the macroeconomic variables of the three principal component factors, and then use the principal component factors and Shanghai Stock Exchange Index, small and medium-sized board index, gem index to establish the VAR model. Through impulse response to analyze the impact of macroeconomic variables on different levels of the stock market. The conclusion is that macroeconomic conditions and monetary policy will have a more far-reaching impact on the main board and small and medium board. The impact on the gem is short-term; The investment factor has great influence on the small and medium-sized board and the gem market, but it has little effect on the main board market. Finally, the paper analyzes the reasons behind the investment factor and puts forward the corresponding policy suggestions in the light of the research results of the article.
【学位授予单位】：天津财经大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51;F123.16

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