中国宏观经济与股票市场相关性比较分析

发布时间：2018-03-14 11:30

本文选题：宏观经济　切入点：股票市场　出处：《南昌大学》2014年硕士论文　论文类型：学位论文

【摘要】：股票市场作为国民经济的重要组成部分，股票市场的发展对国民经济的发展起到重要的推动作用，同时股票市场的运行又受到整个国民经济发展形势的制约。一个国家的经济发展水平往往决定着股票市场的发展水平，同时股票市场的兴衰也直接反应宏观经济发展状况。很多研究表明，欧美等成熟市场经济国家，其宏观经济运行与股票市场的走势长期关系基本是一致的，宏观经济的运行与股票市场的波动具有一定的协同关系。股票市场作为国民经济发展的先行指标，对于把握宏观经济走势，引导政府制定相应的政策，指导投资者进行投资等具有重要的作用。与西方发达国家相比，中国股票市场从产生到现在只有二十余年的历史，中国股票市场不管是从发展历史的长短、投资者的构成、相关规章制度的建设以及监管水平来讲，与西方发达国家成熟的股票市场都有较大的差距。从中国股票市场运行与宏观经济运行来看，，股票市场作为国民经济先行指标、宏观经济“晴雨表”的功能并没有得到体现。本文在前人研究的基础上，探讨中国宏观经济与中国股票市场的相关性，论文分为理论研究与实证分析部分。理论研究部分主要回顾有关宏观经济与股票市场相关性的理论和文献，为后面的实证分析打下理论基础。实证分析分为两大部分，第一部分运用周期理论，通过对1992年—2013年中国GDP增长率与上证指数年末收盘指数的走势图的分析，同时对比美国同一时期的数据，发现中国宏观经济与中国股票市场在这段时间内走势吻合度约为40%，而美国为72%。同时中国宏观经济走过的周期数与股票市场走过周期数不同，而美国宏观经济与股票市场走过的周期数目是相同的，初步判断中国宏观经济的走势与中国股票市场的走势存在较大程度的背离。实证分析的第二部分是基于VAR（VEC）模型的中国宏观经济与股票市场的相关性分析。模型分析分为横向比较和纵向比较；横向比较分析是指中国与美国的比较，之所以选择与美国比较，是因为美国是拥有发达的市场经济和成熟高效的股票市场，而且美国宏观经济与股票市场相关性强。选用1992年—2012年中国季度GDP数据与上证指数季度末收盘值作为样本数据，建立VAR(VEC)模型分析，作为对比分析，选取同时期美国季度GDP数据与标普500指数季度末收盘值作为样本数据进行VAR(VCE)模型分析。纵向比较分析是指以2005年中国股权分置改革为分界点，将股权分置改革后的2005年——2013年称为后期，股权分置改革前选取相同长度时间段的1996年——2004年称为前期，选取前期和后期的中国月度GDP数据与上证指数月度末收盘值分别进行VAR（VEC）模型分析。研究结果得出以下结论，横向中国与美国的比较分析显示，中国股票市场的运行效率低；中国宏观经济能对来自中国股票市场的波动作出正确的反应，但是中国股票市场不能对来自宏观经济的波动作出正确的反应；中国宏观经济与股票市场的相关性很弱，并且相关性弱的原因主要在中国股票市场。纵向股权分置改革后期与前期比较显示，中国股票市场自身存在的问题没有得到明显的改善，但是中国股票市场对中国经济的影响在增强。
[Abstract]:The stock market is an important part of the national economy, the development of the stock market on the development of the national economy plays an important role at the same time, the stock market operation is also restricted by the development of the entire national economy situation. A country's level of economic development determines the development level of the stock market, and the rise and fall of stock market also directly response to the situation of macro economy. Many studies show that Europe and other mature market economy, the macro economy and the trend of the stock market long-term relationship is consistent with the basic operation, and the stock market macroeconomic volatility has a certain synergy. The stock market as a leading indicator of national economic development, to grasp the macro economic trend guide the government to formulate corresponding policies, plays an important role in guiding the investors to make investment.
Compared with western developed countries, Chinese stock market from now to have only twenty years of history, China stock market whether it is from the development of history, investors, construction of relevant rules and regulations and the supervision level, and the western developed countries mature stock market has a larger gap from the stock market and Chinese. The macro economy, the stock market as the index of national economy first, macroeconomic "barometer" function has not been reflected.
Based on the previous research, to investigate the correlation between Chinese Chinese macro economy and the stock market, the thesis is divided into theoretical research and empirical analysis. The theoretical research part mainly reviews the relationship between macro economy and stock market theory and literature, lay a theoretical foundation for subsequent empirical analysis. The empirical analysis is divided into two parts, the first part of the application of cycle theory, based on the 1992 - 2013 China GDP growth rate analysis and the Shanghai index at the end of the closing index chart, and data compared to the United States during the same period, found Chinese macroeconomic and Chinese stock market during this period of time the trend coincides with about 40%, while the United States is the number of cycles and the stock market 72%. also Chinese macroeconomic passing cycle number and the number of different period of American macro economy and stock market in the past is the same, the preliminary judgment of Chinese macro The concept of economic development and the trend of the stock market has deviated from the Chinese greatly. The second part of the empirical analysis is based on VAR (VEC) China correlation analysis of macro economy and stock market model. Model analysis is divided into horizontal and vertical comparison; comparative analysis refers to the comparison with the United States and the United States chose China. Comparison is because the United States has developed market economy and the mature and efficient stock market, and the macroeconomic and stock market from 1992 to 2012. The strong correlation between the Chinese quarter GDP data and the Shanghai index at the end of the season closing value as the sample data, the establishment of VAR (VEC) as model analysis, comparative analysis, select the same period in the United States quarter GDP data and the S & P 500 index at the end of the quarter closing value as the sample data of VAR (VCE) model. The longitudinal comparative analysis refers to the ownership of a share in 2005 China Reform as the cut-off point, the equity division reform after 2005 2013 called late, non tradable share reform in 1996 before the selection of the same length of time periods -- 2004 known as the early selection of early and late Chinese monthly GDP data and the Shanghai index monthly end closing value were VAR (VEC) model.
The results of the study concluded that the transverse China and America comparative analysis showed that the efficiency of Chinese low stock market; macroeconomic Chinese can make the correct response to the China from the volatility of the stock market, but the stock market can not Chinese out the correct response to the wave action from the macro economy; correlation Chinese macroeconomic and stock market the reason is very weak, and the weak correlation between the main China in the stock market. The vertical equity division reform and pre post comparison showed that Chinese stock market's own problems have not been significantly improved, but the impact of stock market on economic Chinese Chinese enhanced.

【学位授予单位】：南昌大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F224;F124;F832.51

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