本文選題：股市　切入點(diǎn)：消費(fèi)　出處：《山東財(cái)經(jīng)大學(xué)》2012年碩士論文　論文類型：學(xué)位論文

【摘要】：21世紀(jì)以來，我國股票市場(chǎng)伴隨著經(jīng)濟(jì)的高速發(fā)展而迅猛成長，已成為現(xiàn)代金融市場(chǎng)中不可或缺的部分。在城鎮(zhèn)居民的資產(chǎn)結(jié)構(gòu)中股票占比逐年增加，于是股票市場(chǎng)的功能已不僅僅局限在實(shí)現(xiàn)資金融通、優(yōu)化資源配置等方面，金融資產(chǎn)價(jià)格波動(dòng)對(duì)宏觀經(jīng)濟(jì)以及居民個(gè)人的影響日益突出。研究股市財(cái)富效應(yīng)旨在揭示股票財(cái)富發(fā)生變動(dòng)對(duì)居民消費(fèi)支出帶來的影響。 本文采用規(guī)范分析和實(shí)證分析相結(jié)合的研究方法。在規(guī)范分析部分，本文首先對(duì)財(cái)富效應(yīng)理論、消費(fèi)函數(shù)理論和行為金融學(xué)理論進(jìn)行了理論梳理，其次，在此基礎(chǔ)上對(duì)股市財(cái)富效應(yīng)傳導(dǎo)機(jī)制進(jìn)行分析，并探討了股市財(cái)富效應(yīng)的影響因素。 在實(shí)證分析部分，本文選取2000年一季度—2011年三季度的城鎮(zhèn)居民人均可支配收入、城鎮(zhèn)居民人均消費(fèi)支出和上證綜合指數(shù)等季度數(shù)據(jù)，以LC—PM消費(fèi)函數(shù)模型為基礎(chǔ)，采用VAR計(jì)量模型，對(duì)中國股市財(cái)富效應(yīng)存在與否進(jìn)行實(shí)證檢驗(yàn)。本文使用多空頭市場(chǎng)的判斷替代股市上漲與下跌的主觀判斷，對(duì)股市財(cái)富效應(yīng)非對(duì)稱性進(jìn)行分析。 本文的主要實(shí)證結(jié)論是：我國城鎮(zhèn)居民消費(fèi)與收入、股市規(guī)模之間存在著協(xié)整關(guān)系，即居民的股票財(cái)富量對(duì)其消費(fèi)存在一個(gè)長期微弱的正效應(yīng)。并且，我國股市財(cái)富效應(yīng)存在較明顯的非對(duì)稱性。 針對(duì)實(shí)證結(jié)論，本文分析制約中國股票市場(chǎng)的財(cái)富效應(yīng)原因有四：一是中國股市缺乏長期投資價(jià)值，上市公司整體質(zhì)量較差，公司治理和公司行為不規(guī)范，投資回報(bào)低。二是股票市場(chǎng)的深度和廣度有限，使得股市的發(fā)展帶來居民財(cái)富增加有限，無法有效地發(fā)揮股市的財(cái)富效應(yīng)。三是股票市場(chǎng)的投機(jī)色彩濃重，對(duì)居民消費(fèi)產(chǎn)生了擠出效應(yīng)，抑制了股市的財(cái)富效應(yīng)。四是我國股市正處于“新興+轉(zhuǎn)軌”的階段，，其階段性質(zhì)決定了我國股市財(cái)富效應(yīng)較弱。并結(jié)合實(shí)際提出了提高我國股市財(cái)富效應(yīng)的幾點(diǎn)建議。
[Abstract]:Since 21th century, the stock market of our country has been growing rapidly with the rapid development of economy, which has become an indispensable part of the modern financial market. As a result, the functions of the stock market are not limited to the realization of financing, optimizing the allocation of resources, and so on. The impact of financial asset price fluctuations on the macro economy and individual residents is increasingly prominent. The study of the stock market wealth effect aims to reveal the impact of changes in stock wealth on consumer spending. In the part of normative analysis, firstly, the theory of wealth effect, the theory of consumption function and the theory of behavioral finance are analyzed. On this basis, the transmission mechanism of stock market wealth effect is analyzed, and the influencing factors of stock market wealth effect are discussed. In the part of empirical analysis, this paper selects the quarterly data of the per capita disposable income of urban residents, the per capita consumption expenditure of urban residents and the Shanghai Composite Index from 2000 to 2011, based on the LC-PM consumption function model. This paper uses the VAR econometric model to test the existence or not of the wealth effect in Chinese stock market. This paper uses the judgment of multi-short market to replace the subjective judgment of rising and falling of stock market, and analyzes the asymmetry of wealth effect of stock market. The main empirical conclusions of this paper are as follows: there is a cointegration relationship between the consumption and income of urban residents and the scale of the stock market, that is, the stock wealth of the residents has a long-term weak positive effect on their consumption. The wealth effect of Chinese stock market has obvious asymmetry. There are four reasons for the wealth effect in China's stock market: first, the stock market lacks long-term investment value, the overall quality of listed companies is poor, corporate governance and corporate behavior are not standardized. Second, the depth and breadth of the stock market is limited, which makes the development of the stock market lead to limited increase in wealth for residents, and it is unable to give full play to the wealth effect of the stock market effectively. Third, the speculation in the stock market is very strong. The crowding-out effect on residents' consumption has restrained the wealth effect of the stock market. Fourth, China's stock market is in the stage of "emerging transition". The property of the stage determines that the wealth effect of China's stock market is weak, and some suggestions for improving the wealth effect of China's stock market are put forward in combination with the practice.
【學(xué)位授予單位】：山東財(cái)經(jīng)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類號(hào)】：F832.51;F224

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本文編號(hào)：1641270