全流通背景下我国股票市场运行与宏观经济变量之间的相关性研究

发布时间：2017-12-31 05:09

本文关键词：全流通背景下我国股票市场运行与宏观经济变量之间的相关性研究　出处：《沈阳理工大学》2013年硕士论文　论文类型：学位论文

【摘要】：中国股票市场的形成与发展受到我国特定的经济环境和早期严格计划经济体质的限制，最突出的问题就是市场上流通股和非流通股并存的二元结构问题。2005年4月，中国证券监督管理委员会启动股权分置改革试点工作，实现股市全流通，充分发挥资本市场在资源配置中的作用。截止2007年12月，沪、深两市完成或者已进入股改程序的公司占应股改公司的98%，总市值超过98%。可以说中国股市自此进入了全流通，具备“同股、同权、同利”的“三同”原则，基本实现了股权结构和权利内容的统一。在这种背景下，研究股票价格影响因素不仅对于投资者、市场管理者和上市公司经营决策者等利益相关者都具有重要的现实指导意义，而且对于完善股票价格发现机制、提升市场效率、充分发挥股票市场对宏观经济的“晴雨表”作用都具有非常重要的理论意义。本文将宏观经济指标分为六大类，从中选取15个变量。再将15个宏观经济变量与反应我国股票市场运行状况的上证综指一起建立计量经济学模型进行分析，探讨股票市场与宏观经济之间的相关性，进而提出更好发展我国股票市场的有效建议。本文共分为四章：第一章主要介绍本文的选题背景与研究意义、国内外研究现状和研究方法和创新点以及研究内容、框架。第二章主要是阐述股票市场与宏观经济变量的作用机理以及其相关性，为下文的分析奠定理论基础。第三章是本文的核心部分，主要是利用多种计量方法对我国股票市场与宏观经济变量的相关性问题进行实证分析并得出相关结论：（1）固定资产投资完成额、社会消费品零售总额、财政收入、出口总额四个变量与理论预期相反，其他都与理论预期相符合；（2）国家外汇储备量、货币供应量M1、企业商品价格指数是对我国股市的影响依次最大的三个宏观经济变量。第四章是主要是结合实证分析结果与目前的实际情况，提出一些有效的政策建议以期进一步完善我国的股票市场。
[Abstract]:The formation and development of China's stock market is restricted by the specific economic environment and the early strict planned economy. In April 2005, the China Securities Regulatory Commission started the pilot reform of the split share structure to realize the full circulation of the stock market. As of December 2007, 98% of the companies in the Shanghai and Shenzhen stock markets have completed or entered the stock reform process. It can be said that since then China's stock market has entered the full circulation, with the principle of "one share, one right, and the same interest," basically realizing the unity of the ownership structure and the content of the right. The study of the influencing factors of stock price not only has important practical significance for the stakeholders such as investors, market managers and listed company management decision makers, but also for the improvement of the stock price discovery mechanism. It is of great theoretical significance to improve market efficiency and give full play to the role of stock market in macroeconomic barometer. In this paper, macroeconomic indicators are divided into six categories. Choose 15 variables, and then 15 macroeconomic variables and reflect the operation of the stock market in China's Shanghai Composite Index together to establish an econometric model for analysis. This article is divided into four chapters: the first chapter mainly introduces the background and significance of this paper. Domestic and foreign research status, research methods and innovations, as well as research content, framework. The second chapter mainly describes the mechanism of stock market and macroeconomic variables and its relevance. The third chapter is the core of this paper. Mainly using a variety of econometric methods to analyze the correlation between the stock market and macroeconomic variables in China and draw the relevant conclusions: 1) the total amount of investment in fixed assets and the total retail sales of consumer goods. The four variables of fiscal revenue and total export amount are contrary to theoretical expectations, and the others are in line with theoretical expectations; National foreign exchange reserves, money supply M1. Enterprise commodity price index is the three macroeconomic variables that have the greatest impact on the stock market in turn. Chapter 4th is mainly based on the empirical analysis results and the current actual situation. Some effective policy suggestions are put forward to further improve the stock market in China.
【学位授予单位】：沈阳理工大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51;F124

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