【摘要】：股票市場是金融市場的重要組成部分,是投資者進(jìn)行資產(chǎn)選擇的主要場所之一,投資者依據(jù)金融市場上不同資產(chǎn)的收益率狀況來選擇資產(chǎn)的結(jié)構(gòu)和數(shù)量,因此,股票收益率的變化會使投資者持有貨幣的數(shù)量和分配結(jié)構(gòu)發(fā)生改變,進(jìn)而影響貨幣需求。此外,由于投資者在不同股市狀態(tài)下的偏好、認(rèn)知以及情感等主觀因素不盡相同,股票收益率變動與貨幣需求的影響關(guān)系也會不盡一致。 本文從股票市場著眼,依托貨幣需求理論和行為金融學(xué)的研究成果,選用樣本區(qū)間為2001.06-2010.12的相關(guān)月度數(shù)據(jù),采用非參數(shù)法將其劃分成“牛市”和“熊市”,并選擇其中兩個最具有代表性的市態(tài)區(qū)間-熊市：2001.07-2005.05；牛市：2005.05-2007.11,通過構(gòu)建向量自回歸(VAR)模型和向量誤差修正模型(VECM),運(yùn)用協(xié)整分析、脈沖響應(yīng)函數(shù)以及方差分解,實(shí)證研究了不同市態(tài)下股票收益率變動對貨幣需求的產(chǎn)生的長期和短期影響。實(shí)證結(jié)果表明,在不同的市態(tài)下,股票收益率變動對貨幣需求產(chǎn)生了不同的影響,呈現(xiàn)出差異性。 從影響方向上看：在熊市狀態(tài)下,協(xié)整分析表明股票收益率與貨幣需求呈負(fù)向關(guān)系,所以長期來看,股票收益率的下降會導(dǎo)致貨幣需求增加；誤差修正結(jié)果也表明,在短期內(nèi),股票收益率變動對貨幣需求的調(diào)整機(jī)制存在,當(dāng)二者關(guān)系偏離均衡狀態(tài)時,會以0.67%的速度調(diào)整偏離均衡誤差。在牛市狀態(tài)下,協(xié)整分析表明股票收益率與貨幣需求呈正向關(guān)系,股票收益率上升會導(dǎo)致貨幣需求增加；誤差修正結(jié)果表明,短期內(nèi),股票收益率變動對貨幣需求產(chǎn)生了調(diào)節(jié)作用,會以4.65%的速率調(diào)整偏離誤差。 從影響程度上看：協(xié)整分析表明,熊市狀態(tài)下股票收益率對貨幣需求的影響系數(shù)(絕對值)為0.53,遠(yuǎn)遠(yuǎn)小于牛市狀態(tài)下的系數(shù)(絕對值)2.77,說明股票收益率在牛市狀態(tài)對貨幣需求的影響強(qiáng)度遠(yuǎn)大于熊市；脈沖響應(yīng)函數(shù)和方差分解的結(jié)果也表明,牛市狀態(tài)時,股票收益率對貨幣需求變化的貢獻(xiàn)度大于熊市狀態(tài),這說明在不同市態(tài)下,股票收益對貨幣需求的影響具有不對稱性。
[Abstract]:Stock market is an important part of financial market and one of the main places for investors to choose assets. Investors choose the structure and quantity of assets according to the rate of return of different assets in the financial market. The change of stock yield will change the amount of money held by investors and the distribution structure, and then affect the demand for money. In addition, due to the different subjective factors such as preference, cognition and emotion of investors in different stock market states, the relationship between the change of stock yield and the demand for money will not be consistent. Based on the research results of monetary demand theory and behavioral finance, this paper selects the monthly data with sample interval of 2001.06-2010.12, and divides them into "bull market" and "bear market" by non-parametric method. And select two of the most representative market state interval-bear market: 2001.07-2005.05; Bull Market: 2005 / 05 / 2007 / 11, by constructing vector autoregressive (VAR) model and vector error correction model (VECM), using cointegration analysis, impulse response function and variance decomposition, This paper empirically studies the long-and short-term effects of stock return on the generation of monetary demand under different market conditions. The empirical results show that under different market conditions, the change of stock yield has different effects on the demand for money, showing differences. From the point of view of influence direction: under the condition of bear market, cointegration analysis shows that the stock yield has a negative relationship with the money demand, so in the long run, the decline of the stock yield will lead to the increase of the money demand; The result of error correction also shows that, in the short term, the mechanism of adjusting the demand for money by stock yield changes exists, and when the relationship between them deviates from the equilibrium state, the deviation error will be adjusted at a speed of 0.67%. In the bull market, the cointegration analysis shows that the stock yield is positively related to the demand for money, and the increase of the stock yield will lead to the increase of the demand for money. The error correction results show that, in the short term, the stock yield has a moderating effect on the demand for money, and the deviation error will be adjusted at a rate of 4.65%. In terms of influence degree, cointegration analysis shows that the influence coefficient (absolute value) of stock yield on money demand in bear market is 0.53, which is much smaller than that in bull market (absolute value) 2.77. It shows that the impact of stock yield on monetary demand in bull market is much stronger than that in bear market. The results of impulse response function and variance decomposition also show that the contribution of stock yield to the change of monetary demand in bull market is greater than that of bear market, which indicates that the influence of stock return on money demand is asymmetric under different market conditions.
【學(xué)位授予單位】：山東大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2012
【分類號】：F832.51;F224

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