【摘要】：采用2006～2011年的數(shù)據(jù),對(duì)A股加權(quán)平均凈資產(chǎn)收益率(ROE)與實(shí)際GDP同比增長(zhǎng)率、通貨膨脹率之間的相關(guān)關(guān)系,以及A股平均滾動(dòng)市盈率與M1同比增長(zhǎng)率、居民儲(chǔ)蓄存款余額同比增長(zhǎng)率之間的相關(guān)關(guān)系進(jìn)行了實(shí)證檢驗(yàn)。研究結(jié)果表明,上市公司的盈利周期由經(jīng)濟(jì)周期決定,估值波動(dòng)周期由貨幣供給周期決定,"經(jīng)濟(jì)周期——貨幣政策——貨幣供給周期"三者之間形成的動(dòng)態(tài)循環(huán)是A股市場(chǎng)周期波動(dòng)的內(nèi)在驅(qū)動(dòng)力。利用經(jīng)濟(jì)周期各個(gè)階段中經(jīng)濟(jì)增長(zhǎng)、通貨膨脹、貨幣政策、貨幣供應(yīng)量變化分別對(duì)上市公司盈利、估值的影響,構(gòu)建了一個(gè)A股市場(chǎng)周期波動(dòng)的解釋框架,并運(yùn)用該框架較好地解釋了2006～2011年A股市場(chǎng)兩輪牛熊市的形成機(jī)理。
[Abstract]:Based on the data from 2006 to 2011, the correlation between the weighted average net asset return rate (ROE) of A shares and the annual growth rate of real GDP, inflation rate, and the average rolling P / E ratio of A shares and the growth rate of M1 year on year are analyzed. The correlation between the growth rate of household savings balance and the growth rate is tested empirically. The results show that the profit cycle of listed companies is determined by the economic cycle. The cycle of valuation fluctuation is determined by the cycle of money supply, and the dynamic cycle formed between "economic cycle-monetary policy-money supply cycle" is the internal driving force of the cycle fluctuation of A share market. Based on the effects of economic growth, inflation, monetary policy and money supply changes on the earnings and valuation of listed companies in various stages of the economic cycle, this paper constructs an explanatory framework for cyclical fluctuations in the A-share market. By using this framework, the formation mechanism of two bull bear markets in A share market from 2006 to 2011 is well explained.
【作者單位】： 復(fù)旦大學(xué)管理學(xué)院;中國(guó)人民大學(xué)勞動(dòng)人事學(xué)院;
【分類號(hào)】：F832.51;F822;F275;F224

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本文編號(hào)：2235865