我国股票市场发展与经济增长关系的实证研究

发布时间：2018-06-22 01:16

  本文选题：资本化率 + 交易价值　； 参考：《东北财经大学》2013年硕士论文

【摘要】：股票市场的发展与经济增长的关系一直以来都是经济金融领域进行探讨的热门课题。当代经济学家详细探讨了贸易与增长、金融中介与经济增长的关系后,日益感觉到如何界定股票市场在经济增长中作用的重要性。国外的一些学者通过实证研究发展,实际人均国内生产总值和股票市场发展之间存在着某种对应关系,而这还可能存在因果关系。对于股票市场尚未充分发展的中国来说,自中国股票市场产生之日起,关于股票市场发展对经济增长有没有促进的争论就从来没有停止过。目前国内国外都存在两种观点,一种认为股票市场与经济增长之间存在正相关关系,一种认为股票市场的发展与经济增长存在微弱的相关关系甚至没有关系。正确认识股票市场发展与经济增长之间的关系,不仅对客观认识股票市场在我国国民经济中的地位起到一定作用,同时对股票市场的发展起到了规范的作用,乃至对我国经济的发展都有重要意义。本文在这种背景下,深入探讨了我国股票市场的发展与经济增长之间的关系。 本文首先在导论部分简单概述了我国股票市场发展与经济增长的选题背景、研究目的及方法、还有文章的结构安排。其次,文章在文献综述部分阐述了国外与国内学者对股票市场发展与经济增长二者之间关系的观点。文章第三部分从股票市场与实体经济的关系、股票市场促进经济增长理论分析及经济增长促进股票市场的形成和发展三个方面对股票市场发展与经济增长关系进行理论概述。第四部分是对我国股票市场发展与经济增长关系的实证研究。本文将1998年至2012年的季度数据作为选取的样本数据,通过建立向量自回归模型VAR(Vector Autoregression),对经济增长指标国内生产总值(GDP),股票市场发展指标资本化率(CAP)、交易价值(FR)和季度周转率(TUR)及它们处理后数据进行单位根检验(ADF)、协整检验(Cointegration Test)和格兰杰因果关系检验(Granger Causality Test),并且通过脉冲响应函数(IRF)和误差修正模型(Vecton Error Correction)进行分析。接下来这部分是对股票市场发展与经济增长提出的政策及建议。最后第六部分是文章的结论及进一步需要研究的问题。研究得出结论是：股票市场发展与经济发展没有显著关系。股票市场规模扩大会阻碍经济发展,股票市场流动性对经济发展没有显著的关系。 本文的创新之处在于：一,理论方面对股票市场和经济发展两者相互影响的文献进行了归纳和总结,分析了股票市场与经济增长之间的机制。二,实证方面,对原有计算资本化率的指标进行了尝试性的改良,使用股票市场的流通总值替代了很多文献中使用的市价总值。本文采用了流通总值原因在于随近几年来股票市场改革,非流通股不能算作市场中资本化的一部分,而在衡量我国股票市场发展中,流通股所占比例的变化,可以反映几年来股票市场改革的进程和变化。
[Abstract]:The relationship between the development of the stock market and the economic growth has always been a hot topic in the economic and financial field. The contemporary economists have discussed the relationship between trade and growth in detail, and after the relationship between financial intermediation and economic growth, the importance of how to define the role of the stock market in economic growth is increasingly felt. There is a certain corresponding relationship between the actual per capita GDP and the stock market development, and there may be a causal relationship between the actual per capita GDP and the development of the stock market. For China, which has not yet fully developed the stock market, the debate about the growth of stock market on economic growth has been debated from the date of the emergence of the Chinese stock market. There are two viewpoints at home and abroad. One thinks that there is a positive correlation between stock market and economic growth. One thinks that there is little relationship between the development of stock market and economic growth. It is not only to recognize the relationship between the development of stock market and economic growth, but not only to objectively recognize the relationship between the stock market development and economic growth. The understanding of the stock market plays a certain role in the status of our national economy, and has played a normative role in the development of the stock market, and even to the development of our country's economy. This paper has discussed the relationship between the development of our stock market and the economic growth in this background.
In the first part of the introduction, this paper briefly outlines the background of the topic selection of China's stock market development and economic growth, the purpose and method of the study, and the structure of the article. Secondly, the article expounds the relationship between the foreign and domestic scholars on the relationship between the stock market development and the economic growth between the two foreign and domestic scholars in the literature review. The third part of the article is from the stock market The relationship between the ticket market and the real economy, the theoretical analysis of the stock market promoting economic growth and the three aspects of the economic growth promoting the formation and development of the stock market. The fourth part is an empirical study on the relationship between the development of the stock market and the economic growth in China. This article will be from 1998 to 2. The 012 year quarterly data is selected as the sample data, by establishing the vector autoregressive model VAR (Vector Autoregression), the economic growth index (GDP), the stock market development index capitalization rate (CAP), the transaction value (FR) and the quarterly turnover rate (TUR) and the unit root test (ADF) of their processed data (ADF) and co integration test (ADF). Cointegration Test) and Grainger causality test (Granger Causality Test), and analysis through the impulse response function (IRF) and error correction model (Vecton Error Correction). The next part is a policy and suggestion for the development of the stock market and economic growth. The last sixth parts are the conclusion and further analysis of the article. The conclusion is that there is no significant relationship between the development of the stock market and the economic development. The expansion of the stock market will impede the economic development, and the liquidity of the stock market has no significant relationship to the economic development.
The innovation of this paper is: first, the theoretical aspects of the mutual influence of the stock market and economic development are summarized and summarized, and the mechanism between the stock market and economic growth is analyzed. Two, in the empirical aspect, a trial improvement of the original index of the calculated capitalization rate is made, and the turnover of the stock market is used as a substitute for the value of the stock market. In this paper, the value of the market value used in many documents has been replaced. The reason for the use of the total value of circulation is that with the stock market reform in recent years, non circulation shares can not be regarded as a part of the capitalization in the market. In the development of the stock market, the change in the proportion of the shares in the stock market can reflect the process and change of the stock market reform in the past few years.
【学位授予单位】：东北财经大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F224;F832.51;F124.1

【引证文献】

中国期刊全文数据库 前1条

1 刘璐;;VAR模型下的银行、股市发展与经济增长关系的探索[J];时代金融;2015年24期

，

本文编号：2050884