中国股票收益率与通货膨胀率及经济增长率关系研究

发布时间：2018-04-14 14:08

本文选题：股票收益率 + 经济增长率　；参考：《山东大学》2013年硕士论文

【摘要】：伴随着我国市场经济的发展完善,我国的股票市场经历20多年的发展变化,初步具有了成熟的金融市场功能,取得了令中外瞩目的成绩,股票得到了越来越多的投资者的青睐,因此股票成为一种被大众普遍广泛接受的投资品种,与此同时,股票等金融资产的投资比例稳步升高。近几年,居民消费价格指数连续走高引起了人们的高度关注,人们越来越关注股票等金融资产能否具有这种抵御通货膨胀引起的资产贬值风险的能力。衡量现代市场经济健康运行与否的两个经济指标分别是通货膨胀率、经济增长率,两者间存在着一定的影响关系,特别是实体经济中通胀水平对实体经济体的影响作用尤为突出,与此同时,股票市场规模以及价格的波动状况对我国经济的各个方面产生了深远的影响,股票价格波动和经济增长两者间存在一定的关联关系。在现实的经济生活中,对这三个因素之间的关系研究具有一定的经济现实意义和指导价值。本文首先介绍分析国内外学者对于三者间关系的相关理论研究,借鉴相关经济理论研究的基础上,联系我国的实际经济情况,对于三者存在的实际关系进行探讨和实证研究分析。在选取数据时,尽量选取在现实经济状况下具有代表性、时效性、真实性的年度和月度数据,选择向量自回归模型、协整检验、脉冲响应和方差分解等经济计量研究方法,对三者间的相互关系进行实证检验研究,得出较为真实可靠的结论：(1)股票收益率和通货膨胀率这两个经济变量间的影响作用比较明显,并且具有正向的变动关系。(2)股票收益率与经济增长率两者间的关系不是很明显,相互之间的影响作用很小。(3)当前经济市场下,股票收益率、经济增长率以及通货膨胀率这三个宏观经济变量指标最主要是受到自身因素的干扰变化,其他两个要素指标对其的影响程度很小。
[Abstract]:With the development and perfection of market economy in our country, the stock market of our country has experienced more than 20 years of development and changes, and has initially possessed the function of mature financial market, and has made remarkable achievements both at home and abroad, and the stock market has been favored by more and more investors.As a result, stocks have become a widely accepted investment variety, while the proportion of financial assets such as stocks has steadily increased.In recent years, people pay more and more attention to the rising of consumer price index, and people pay more and more attention to whether the financial assets such as stocks can resist the risk of asset depreciation caused by inflation.The two economic indicators that measure the healthy operation of the modern market economy are the inflation rate and the economic growth rate, respectively.In particular, inflation in the real economy has a prominent impact on the real economy. At the same time, the scale of the stock market and the fluctuation of prices have a profound impact on all aspects of our economy.There is a certain correlation between stock price fluctuation and economic growth.In real economic life, the study of the relationship between these three factors has certain economic practical significance and guiding value.This paper first introduces and analyzes the domestic and foreign scholars' relevant theoretical research on the relationship between the three, draw lessons from the relevant economic theory research, and contact the actual economic situation of our country.The actual relationship between the three is discussed and analyzed empirically.When selecting the data, we should choose the representative, timely and authentic annual and monthly data, choose the vector autoregressive model, cointegration test, impulse response and variance decomposition, and other econometric research methods, such as vector autoregressive model, cointegration test, impulse response and variance decomposition, etc.An empirical study of the relationship between the three is carried out, and a more reliable conclusion is drawn: (1) the impact of the two economic variables, the stock yield and inflation rate, is obvious.And the relationship between the stock yield and the economic growth rate is not very obvious, and the influence between the stock yield and the economic growth rate is very small. 3) under the current economic market, the stock return rate,Economic growth rate and inflation rate, the three macroeconomic variables, are mainly influenced by their own factors, but the other two factors have little influence on them.
【学位授予单位】：山东大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51;F822.0;F124.1;F224

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