宏观货币供给与资金价格对股票市场的影响研究

发布时间：2018-03-13 12:22

本文选题：货币供给　切入点：资金价格　出处：《上海交通大学》2014年硕士论文　论文类型：学位论文

【摘要】：在判断股票市场的走势时，常常认为它受到与宏观经济息息相关的宏观流动性状况的影响，宏观流动性的变化不仅反应在宏观货币供应量和货币市场资金价格上，也会反应到股票市场当中。那么股票作为一种流动性较高的金融产品，是如何受到宏观货币供应量和货币市场资金价格的影响的？其影响究竟有多大？时间有多长？那么宏观流动性的变动是仅仅影响股票价格，还是会影响公司的盈利能力？对不同类型的公司是否会有所不同？本文首先选取2004-2014年的宏观市场数据，建立VAR模型，讨论宏观流动性与股票价格二者之间的动态影响过程，接着以2004-2013年中国A股市场数据为样本，建立面板数据模型，实证检验公司盈利能力和股票价格受宏观流动性的影响程度，并且对公司按不同负债类型和不同行业进行分类，观察结果是否会有所不同。实证结果表明，在宏观货币供给充足、资金成本低的情况下，企业的盈利能力会有所提升，，且对周期性行业来讲更加明显。宏观流动性与股票价格成正向关系，宏观流动性越充足，股票的回报率越高。但宏观流动性的对股票市场的影响只体现在短期股票价格的变动上，而长期对股票价格的影响较弱。此外宏观流动性会影响股票市场对负债率的定价，宏观流动性充足时，会削弱股票市场对公司负债率的反应，同样对周期性行业来说，上述结论也更加明显。
[Abstract]:In judging the trend of the stock market, it is often assumed that the stock market is affected by the macro-liquidity situation, which is closely related to the macro-economy. The change of macro-liquidity is not only reflected in the macro-money supply and the price of money market funds. It will also be reflected in the stock market. So how is the stock, as a highly liquid financial product, affected by the macro money supply and the money market capital price? How big is the impact? How long is it? So does the change of macro liquidity affect only the stock price, or will it affect the profitability of the company? Will it be different for different types of companies? This paper firstly selects the macro-market data from 2004-2014, establishes the VAR model, discusses the dynamic influence process between macro liquidity and stock price, and then takes the data of China A-share market from 2004-2013 as a sample to establish a panel data model. The paper empirically tests the degree of corporate profitability and stock price affected by macro liquidity, and classifies the companies according to different debt types and different industries, and observes whether the results will be different. The empirical results show that when the macro money supply is sufficient and the cost of capital is low, the profitability of enterprises will be improved, and it will be more obvious to the cyclical industries. The macro liquidity has a positive relationship with the stock price. The higher the macro liquidity, the higher the return on stocks. But the impact of macro liquidity on the stock market is only reflected in short-term stock price movements, In addition, macro liquidity will affect the pricing of debt ratios in the stock market. When the macro liquidity is sufficient, it will weaken the reaction of the stock market to the debt ratio of companies, as well as the cyclical industries. The above conclusion is also more obvious.
【学位授予单位】：上海交通大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F822.2;F832.51

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