摘要
本文以上证综合指数为研究对象,选取工业增加值、货币供应量、银行间同业拆借利率、居民消费价格指数等宏观经济变量作为解释变量,采用月度数据,对上证综合指数进行协整分析。分析证明上证综合指数与部分宏观经济变量之间存在协整关系,上证综合指数与货币供应量、同业拆借利率之间长期呈正相关关系,与居民消费价格指数负相关;并且上证综合指数与消费价格指数存在因果关系,与其他变量均不存在因果关系。这意味着我国股票市场虽然可以在一定程度上反映宏观经济的发展情况,但效率不高。
Based on the Shanghai composite index as the research object,the selection of industrial added value,money supply,the interbank lending rates,the consumer price index,macro economic variables as variable data,using monthly to the Shanghai composite index,the cointegration analysis.Analysis shows the Shanghai composite index and part of the macro economic variables co-integration relationship exists between the Shanghai composite index and currency supply,interbank lending rates,long-term relationship between positively correlated with the consumer price index is negatively related to the,And the Shanghai composite index and the consumer price index,and the other a causal relationship between variables are not exist causality.This means that Chinese stock market in a certain extent although can reflect the development of macro economic efficiency is not high,but the situation.
出处
《特区经济》
北大核心
2010年第12期123-124,共2页
Special Zone Economy
关键词
股价指数
宏观经济因素
协整分析
Stock index
Macroeconomic factors
The cointegration analysis
