本文選題：上證綜指 + 宏觀經(jīng)濟(jì)��； 參考：《西北大學(xué)》2017年碩士論文

【摘要】：基于金融學(xué)理論中股票市場(chǎng)與宏觀經(jīng)濟(jì)的相互作用機(jī)制,宏觀經(jīng)濟(jì)發(fā)展對(duì)股市發(fā)展起著決定性作用,股票市場(chǎng)能夠預(yù)測(cè)宏觀經(jīng)濟(jì)運(yùn)行方向,股市和經(jīng)濟(jì)存在相互關(guān)聯(lián)、相互影響的機(jī)制的基本理論,運(yùn)用多種計(jì)量經(jīng)濟(jì)學(xué)方法,包括協(xié)整檢驗(yàn)、Granger因果檢驗(yàn)和波動(dòng)性溢出的GARCH-BEKK檢驗(yàn),本文分析了 1992—2016年我國上證綜指收盤價(jià)的季度均值和實(shí)際季度國內(nèi)生產(chǎn)總值GDP數(shù)據(jù)來得到結(jié)論,使用Eviews8.0和Winrats 8.0軟件進(jìn)行定量評(píng)測(cè)。經(jīng)過分析,從均值看,我國股票市場(chǎng)的發(fā)展受到宏觀經(jīng)濟(jì)的影響,但股票市場(chǎng)并不是宏觀經(jīng)濟(jì)變動(dòng)的直接原因,股票市場(chǎng)和宏觀經(jīng)濟(jì)間不存在應(yīng)有的領(lǐng)先滯后效應(yīng)。通過檢驗(yàn)股市收益率和宏觀經(jīng)濟(jì)增長率的二階矩間的波動(dòng)性溢出效應(yīng)得出,我國股市與宏觀經(jīng)濟(jì)間具有波動(dòng)性溢出,股票市場(chǎng)的收益率變動(dòng)會(huì)對(duì)宏觀經(jīng)濟(jì)的增長率變動(dòng)產(chǎn)生影響,宏觀經(jīng)濟(jì)的增長率變動(dòng)也能對(duì)股市收益率變動(dòng)產(chǎn)生進(jìn)一步影響。因此,雖然宏觀經(jīng)濟(jì)和股票市場(chǎng)的波動(dòng)間存在著相互影響,但二者的均值間存在背離,股票市場(chǎng)不能擔(dān)當(dāng)宏觀經(jīng)濟(jì)的“晴雨表”,造成該現(xiàn)象的原因是我國股票市場(chǎng)的發(fā)展不完善,制度不健全,監(jiān)管不全面等�；诖�,本文給出了相關(guān)的政策建議。
[Abstract]:Based on the interaction mechanism between stock market and macro economy in finance theory, the development of macro economy plays a decisive role in the development of stock market. The stock market can predict the direction of macro economy, and the stock market and economy are interrelated. The basic theory of interaction mechanism, using a variety of econometric methods, including cointegration test Granger causality test and volatility spillover GARCH-BEKK test, This paper analyzes the quarterly average of the closing price of the Shanghai Composite Index from 1992 to 2016 and the real quarterly GDP data to get the conclusion. The quantitative evaluation is carried out by using the software Eviews8.0 and Winrats 8.0. According to the analysis, the development of stock market in our country is influenced by the macro economy, but the stock market is not the direct reason of the macroeconomic change, and there is no leading lag effect between the stock market and the macro economy. By examining the volatility spillover effect between the stock market yield and the second moment of the macroeconomic growth rate, it is concluded that there is volatility spillover between the stock market and the macro economy in China. Changes in stock market yields will have an impact on macroeconomic growth rates, which can also have a further impact on stock market yields. Therefore, although there is interaction between macroeconomic and stock market fluctuations, there is a deviation between the mean values of the two and the stock market cannot act as a "barometer" of the macro economy. The causes of this phenomenon are imperfect development of stock market, imperfect system, imperfect supervision and so on. Based on this, this paper gives the relevant policy recommendations.
【學(xué)位授予單位】：西北大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2017
【分類號(hào)】：F832.51;F124.1

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本文編號(hào)：2069834