股票市场与经济增长匹配周期的研究

  本文关键词：股票市场与经济增长匹配周期的研究，由笔耕文化传播整理发布。

股票市场与经济增长匹配周期的研究 Study on matching period of stock market and economic growth

作者：李楠博 作者本人请参看权利申明

导师姓名：宋玉臣

学位授予单位：吉林大学

授予学位：博士

学位年度：2014

专业：数量经济学

关键词：

摘要:

股票市场是本钱市场的主要构成部门，从全球规模来看，股票市场的感化曾经不只局限于为企业成长筹资、融资，更是优化全部经济社会资本设置装备摆设的有用平台。股票市场范围日趋强大，对经济增加的影响也愈发明显，股市的年夜幅动摇，常常会引致全部微观经济的变更。是以，对股票市场和经济增加互相感化机制的研讨愈来愈遭到看重。但是，从股市出生之日起，股票市场与经济增加的相干性研讨就一直处于争辩当中。晚期的研讨年夜多局限于研讨两者能否背叛，也有年夜量实证研讨证据注解了两者的背叛趋向。但本文以为，关于股票市场和经济增加相干形式的研讨，其实不能纯真的依附实证研讨来肯定结论，相反的，应是先从实际角度动手对两者互相感化机制停止剖析，继而能力以实际为基本，对其相干形式停止实证剖析并以此获得更加靠得住的结论。总结国际外相干研讨结果，不难发明现有的关于股票市场和经济增加的研讨并没有杀青分歧结论。从股票市场与微观经济动摇性角度动身的研讨多半以为股票市场的变更对经济动摇有必定预示感化，而且股票市场的动摇变更方法先于微观经济的动摇；从股票市场与内部经济情况相干性角度动手的研讨，年夜部门以为只要在经济较为蓬勃的国度或地域，，股票市场才会对经济成长有明显影响。但是，也有一些研讨以为，即便在成长中国度，股票市场和经济增加之间依然存在必定水平的相干关系，经由过程成长股票市场，可以到达增进经济增加的目标；基于股票市场和经济变量相干性的研讨中，则因为选择变量分歧而获得各分歧成果。关于我国股票市场和经济增加相干性的研讨则年夜部门都以为我国股票市场和经济增加之间其实不存在明显相干关系。对股票市场的相干概念停止梳理后，可以发明股票市场存在两年夜主要特色，其一是均值回归，即股票价钱不管是高于或低于价值中枢，都存在向价值中枢（内涵价值）回归的趋向，均值回归特色也从一个正面反应出，股票价钱并不是在每个时点上都邑实时精确的反应股票市场的一切信息，而发生这一景象的缘由可以经由过程引入均匀感性的概念来停止说明，均匀感性也是股票市场的第二个特色。基于这两个特色和包含有用市场假说在内的其它相干实际，本文提出了股票市场有用周期的界说，作为婚配周期实际的主要实际基本的有用周期是指：在市场中必定存在一个足够长的时光周期，使时段内的均匀证券价钱可以或许反应该段时光内的一切信息，此时的市场为有用市场。以有用周期作为重要实际基本，本文提出了股票市场和经济增加的婚配周期这一实际，并表述为：反应股票更改幅度的股价指数与反应经济增加的目标之间，其实不是在任何一个时点或一个特定的时光段都是互相婚配的，然则必定会有一个足够长的时光段使二者具有极强的相干性或许称为互相婚配，这个时光段就被界说为股票市场与经济增加的婚配周期。婚配周期实际的意义在于不只可以权衡股票市场的完美水平，还可以或许对经济增加和股票市场成长关系停止权衡。关于普通的市场来讲，更加达的股票市场对经济的影响就越年夜，同时，更加达的微观经济情况，对股票市场的影响也就越深入，两者婚配周期就较短；反之，婚配周期就比拟长。关于婚配周期的验证，本文选用的重要实证研讨办法分离是热最优途径法和穿插谱剖析办法，热最优途径法经由过程物理学道理，对时光序列的抢先滞后关系停止剖析，而穿插谱剖析法是一种基于时域剖析基本上的频域剖析办法，用以肯定两个时光序列的婚配关系。时域剖析办法中包含了VAR模子和Granger因果磨练等办法。应用这些办法，本文对世界重要股票价钱指数和经济增加之间的婚配周期分离停止了磨练，磨练的样本包含：美国经济增加目标和道琼斯指数和尺度普尔指数的婚配周期、FTSE-100指数和英国经济增加的婚配周期、DAX指数和德国经济增加的婚配周期、日经225指数和日本经济增加的婚配周期。经由磨练发明，这些股票价钱指数与经济增加之间都存在着分歧时光长度的婚配周期，进一步解释这些股票价钱指数与经济增加之间存在着优越的互动关系和婚配性。但是，对我国的股票市场和经济增加停止磨练后发明，在我国，这类婚配关系尚不克不及被测算到。这解释我国股票市场依然处于成长早期，与蓬勃国度的股票市场之间存在着极年夜的差距，股票市场对微观经济的代表性还远远不敷。我国股票市场的出生和成长过程较为特别，股票市场的成长一直随同着当局政策的引诱和管束。与普通股市中的当局行动比拟，我国当局对股市的干涉手腕更多，干涉行动也加倍频仍。我国股市范围扩大的进程中，其对资本的优化设置装备摆设，会聚分歧风险偏好投资者的资金和增进经济成长的感化日趋明显。但是，疾速成长的股票市场中市场掉灵和当局掉灵景象却也在频仍的涌现。基于股票市场与经济增加的婚配周期实际，并联合美国的多条理多元化股票市场胜利经历，可以发明，要真正完成股票市场的安康连续成长，我国当局必需要从新定位本身在股票市场中的监管本能机能，树立卓有成效的上市公司进入和加入渠道，转变以后股票市场“只进不出”的格式，应用市场机制的优越劣汰加强股票市场对微观经济的代表性，从延长婚配周期和加强股票市场与经济增加联动性角度对我国股票市场的进一步成长停止深刻的改造和完美。

Abstract:

The stock market is the important component of the capital market, from the point of view of the global scale, the effect of stock market was not limited to the growth of corporate financing, financing, is the optimization of all economic and social capital to set equipment, furnishings useful platform. The stock market is becoming stronger and stronger, and the impact on the economy is becoming more and more obvious, and the stock market's big shake, which often leads to the change of the whole micro economy. Is, the stock market and the economy to increase mutual influence mechanism of the research is increasingly valued. However, from the date of birth of the stock market, the stock market and economic growth of the coherence of the research has been in dispute. In the late period, the research is mostly confined to the study of whether the two can betray, but also there is a large amount of empirical evidence to comment on the two of the two tendencies. The author thinks that a stock market and economic increase coherent form of research, in fact, can not pure attachment empirical research to confirm the conclusion. On the contrary, should be first from a practical point of view, hands on both mutual action mechanism analysis, then ability to the actual basic, the coherent form to carry on the empirical analysis and in order to obtain more reliable conclusions. Summarize the domestic and foreign relevant research results, not difficult to find the existing research on stock market and economic increase and no fixing different conclusions. From the stock market and micro economic shake point to start research would probably think of the stock market changes on economic fluctuation is surely indicative and stock market shake change method earlier than that of micro economy falter; from the stock market and the internal economic coherence angles in military research, Nianye sector thought as long as in economy, more vigorous country or region, the stock market will be on economic growth has a significant effect. However, there are some research thought, even in developing countries, between the stock market and economic growth still exists a certain degree of coherence relations, through the process of growth in the stock market, can arrive to promote economic growth; based on the study of stock market and economic variable coherence, because the choice of variable differences obtained the different results. The research on the correlation between stock market and economic growth in our country has no obvious relationship between stock market and economic growth. To stock market related to the concept of carding, invention of the stock market has two of the eve of the main features. The first is a regression to the mean that the stock price whether above or below the central value, there is a trend of returning to the central value (intrinsic value), mean reversion characteristics from a positive reaction out, stock prices and not on each point of cities accurately in real time the stock market reaction of all the information, and this phenomenon causes can be through the process of introducing the concept of perceptually uniform to stop that, perceptually uniform is the second feature of the stock market. Based on these two characteristics and contains the efficient markets hypothesis, other related theory, this paper presents the definition of useful stock market cycle, as actual mating cycle mainly basic and practical useful cycle is refers to: in the market must exist for a long enough period of time, the period of the uniform securities price can probably reflects all the information within the period of time, when the market is useful for market. In a useful cycle as important basic theory, this paper presents stock market and economic increase mating cycle, the actual, and is stated as: reaction stock change increased the magnitude of the stock price index and economic goals between, in fact, not at any one point in time or a particular time period are mutual matching, however, will have a long enough time the two have strong coherence may call for mating with each other. This time period is defined as stock market and economic growth from the mating cycle. Mating cycle practical significance lies in not only can weigh the perfect level of stock market, perhaps to economic growth and stock market growth measure can also be. On the common market, more than the stock market on the economic impact is larger. At the same time, more of the macroeconomic situation, the impact on the stock market more in-depth, both mating cycle is short; on the contrary, mating cycle relatively long. Validation of mating cycle, selected important empirical research methods separation is optimal heat method and interspersed with spectrum analysis method, optimal heat method through physics sense, on time sequence preemptive lag relationship analysis, and interspersed with spectral analysis method is a basic Yu Shiyu analysis basic on the frequency domain analysis method, to determine the matching relationship between the two time series. Time domain analysis includes the VAR model and Granger causality test method. Application of these methods, this paper on world stock price index and economic growth between mating cycles to separate stop honed their skills and training samples contain: the economy increase goals and the Dow Jones Industrial Average and the standard & Poor's index of mating cycle, the FTSE-100 index and the British economy increased mating cycle, DAX index and the German economy increased mating cycle, the Nikkei 225 index and the Japanese economy to increase the mating period. By means of training, the stock price index and economic growth have different time length of marriage...

目录:

摘要4-6Abstract6-8第1章 绪论11-15    1.1 研究背景与研究意义11-12    1.2 研究方法与技术路线12-14    1.3 本文的创新之处14-15第2章 文献及研究综述15-27    2.1 股票市场与宏观经济波动相关性的研究15-18    2.2 股票市场与外部经济环境相关性的研究18-20    2.3 股票市场与不同经济变量相关性的研究20-22    2.4 中国股票市场与经济增长互动性的研究22-24    2.5 本章小结24-27第3章 股票市场和经济增长的相关理论27-41    3.1 股票市场的波动理论27-31    3.2 经济增长及周期理论31-35    3.3 股票市场与经济增长的交互作用机制35-38    3.4 本章小结38-41第4章 股票市场与经济增长匹配周期的理论推演41-49    4.1 有效周期理论的提出41-44    4.2 股票市场与经济增长匹配周期理论的逻辑体系44-45    4.3 股票市场与经济增长匹配周期理论的内涵45-46    4.4 股票市场与经济增长匹配周期理论的经济学意义46-47    4.5 本章小结47-49第5章 相关实证方法概述49-59    5.1 数据和实证方法的选择49-51    5.2 热最优路径法51-54    5.3 交叉谱分析法54-56    5.4 本章小结56-59第6章 美国主要股指与经济增长匹配周期的实证检验59-81    6.1 美国股市的发展历程59-61    6.2 数据的选取和处理61-66    6.3 DJIA 和 S&P 与美国经济增长匹配的周期检验66-78    6.4 本章小结78-81第7章 欧盟主要成员国股指与经济增长匹配周期的实证检验81-99    7.1 FTSE-100 指数及其与英国经济增长匹配周期的检验81-89    7.2 DAX 指数及其与德国经济增长的匹配周期检验89-97    7.3 本章小结97-99第8章 日经指数与日本经济增长匹配周期的检验99-111    8.1 日本经济发展和日经指数的特点99-100    8.2 数据选取与处理100-102    8.3 热最优路径分析102-104    8.4 交叉谱分析104-109    8.5 本章小结109-111第9章 我国股票市场与经济增长匹配周期的研究111-125    9.1 相关文献回顾111-112    9.2 我国股票市场的描述性分析112-114    9.3 我国股票市场与经济增长匹配周期的实证分析114-122    9.4 本章小结122-125第10章 股票市场的政府行为分析——基于匹配周期视角125-149    10.1 股票市场的政府行为理论126-139    10.2 股票市场失灵及其对匹配周期的影响139-141    10.3 我国股票市场失灵和政府行为特征141-144    10.4 我国股票市场的优化路径分析144-149总结与展望149-151参考文献151-159攻读学位期间发表的学术论文及取得的科研成果159-161致谢161

参考文献

  本文关键词：股票市场与经济增长匹配周期的研究，由笔耕文化传播整理发布。