我国股票市场效率与经济发展的关系研究

发布时间：2018-06-14 23:47

本文选题：经济发展 + 股票市场效率　；参考：《吉林大学》2014年硕士论文

【摘要】：自股票诞生以来，一直吸引学者不断研究，而随着股票市场的发展完善，金融界对于股票的研究也逐渐形成理论体系,同时经济发展也是各个国家各个领域的学者永恒不变的研究课题，因此对于二者的关系，也格外吸引人们不断探究。一些学者研究认定，股票市场能够促进经济增长，而有些学者持截然相反的意见，认为股票市场阻碍经济发展。我国股票市场正式建成时间较晚，虽然发展速度迅猛，但仍然尚不成熟，亟需完善。因此针对我国的股票市场，研究其与经济发展之间的关系，，可以揭示股票市场对我国经济发展的推动力大小，并以此总结发现股票市场存在的问题，提出改进建议，更好的发挥市场功能，促进我国经济发展。本文分别从理论和实证两个角度出发，阐述股票市场效率和经济发展之间的关系。在论文主体中，首先回顾了经济增长和股票市场的相关理论，然后对我国股票市场效率与经济发展之间的关系做了理论分析，主要从积极影响与消极影响两方面分别阐述，最后进行实证分析，采用1998年-2013年的数据，建立了VAR模型，进行ADF单位根检验、Johansen协整检验、格兰杰检验以及脉冲响应分析，从实证角度验证了1998年-2013年我国股票市场效率与经济发展之间的动态关系，并得出结论进行分析。经研究可以得到以下结论：一，股票市场规模与经济发展之间存在长期正向均衡关系，股票市场流动性与经济发展之间存在长期负向均衡关系。二，我国股票市场效率的增长率与经济增长率之间存在格兰杰因果关系。经济增长率均不是股票市场相关效率的增长率的格兰杰原因，反过来，资本化率与交易率的增长率是经济增长率的格兰杰原因，而换手率的增长率不是经济增长率的格兰杰原因。三，在短期内资本化率的增长率提高对我国经济产生正面影响，能够加速经济增长；同时，交易率的增长率提高也会产生正面影响，但其影响效果持续性不大；而换手率的增长率提高在我国会对经济增长有立竿见影的负面影响。最后，通过理论与实证两部分分析，针对股票市场的规模效率与流动性效率分别提出了建议。
[Abstract]:Since the birth of the stock market, it has attracted scholars to study continuously. With the development of the stock market, the research on the stock market in the financial circles has gradually formed a theoretical system. At the same time, economic development is an eternal research topic for scholars in various fields of various countries, so the relationship between the two is especially attractive to people to explore. Some scholars believe that the stock market can promote economic growth, while some scholars hold the opposite view that the stock market hinders economic development. The stock market of our country is completed relatively late, although the speed of development is swift and violent, but it is still not mature, it needs to be perfected urgently. Therefore, in view of the stock market of our country, studying the relationship between it and economic development can reveal the driving force of the stock market to the economic development of our country, sum up the problems existing in the stock market, and put forward some suggestions for improvement. Better display the market function, promote our country economy development. This paper expounds the relationship between stock market efficiency and economic development from the theoretical and empirical perspectives. In the main body of the paper, the author reviews the relevant theories of economic growth and stock market, and then makes a theoretical analysis of the relationship between the efficiency of China's stock market and economic development, mainly from the two aspects of positive and negative effects. Finally, using the data from 1998 to 2013, the VAR model is established, and the ADF unit root test Johansen cointegration test, Granger test and impulse response analysis are carried out. This paper verifies the dynamic relationship between stock market efficiency and economic development from 1998 to 2013, and draws a conclusion. The conclusions are as follows: first, there is a long-term positive equilibrium relationship between stock market size and economic development, and a long-term negative equilibrium relationship between stock market liquidity and economic development. Secondly, Granger causality exists between the growth rate of stock market efficiency and economic growth rate. The economic growth rate is not the Granger cause of the growth rate of the relative efficiency of the stock market, in turn, the growth rate of the capitalization rate and the transaction rate is the Granger reason of the economic growth rate. The turnover rate of the growth rate is not the Granger reason for the economic growth rate. Third, in the short term, the increase of capitalization rate has a positive impact on our economy, which can accelerate the economic growth, meanwhile, the increase of transaction rate will also have a positive impact, but its effect is not sustainable. The increase of turnover rate in China will have an immediate negative impact on economic growth. Finally, through the theoretical and empirical analysis, the paper puts forward some suggestions on the scale efficiency and liquidity efficiency of stock market.
【学位授予单位】：吉林大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51;F124

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