本文關(guān)鍵詞：股票市場與經(jīng)濟(jì)增長匹配周期的研究，由筆耕文化傳播整理發(fā)布。

股票市場與經(jīng)濟(jì)增長匹配周期的研究 Study on matching period of stock market and economic growth

作者：李楠博 作者本人請參看權(quán)利申明

導(dǎo)師姓名：宋玉臣

學(xué)位授予單位：吉林大學(xué)

授予學(xué)位：博士

學(xué)位年度：2014

專業(yè)：數(shù)量經(jīng)濟(jì)學(xué)

關(guān)鍵詞：

摘要:

股票市場是本錢市場的主要構(gòu)成部門，從全球規(guī)模來看，股票市場的感化曾經(jīng)不只局限于為企業(yè)成長籌資、融資，更是優(yōu)化全部經(jīng)濟(jì)社會(huì)資本設(shè)置裝備擺設(shè)的有用平臺(tái)。股票市場范圍日趨強(qiáng)大，對經(jīng)濟(jì)增加的影響也愈發(fā)明顯，股市的年夜幅動(dòng)搖，常常會(huì)引致全部微觀經(jīng)濟(jì)的變更。是以，對股票市場和經(jīng)濟(jì)增加互相感化機(jī)制的研討愈來愈遭到看重。但是，從股市出生之日起，股票市場與經(jīng)濟(jì)增加的相干性研討就一直處于爭辯當(dāng)中。晚期的研討年夜多局限于研討兩者能否背叛，也有年夜量實(shí)證研討證據(jù)注解了兩者的背叛趨向。但本文以為，關(guān)于股票市場和經(jīng)濟(jì)增加相干形式的研討，其實(shí)不能純真的依附實(shí)證研討來肯定結(jié)論，相反的，應(yīng)是先從實(shí)際角度動(dòng)手對兩者互相感化機(jī)制停止剖析，繼而能力以實(shí)際為基本，對其相干形式停止實(shí)證剖析并以此獲得更加靠得住的結(jié)論�？偨Y(jié)國際外相干研討結(jié)果，不難發(fā)明現(xiàn)有的關(guān)于股票市場和經(jīng)濟(jì)增加的研討并沒有殺青分歧結(jié)論。從股票市場與微觀經(jīng)濟(jì)動(dòng)搖性角度動(dòng)身的研討多半以為股票市場的變更對經(jīng)濟(jì)動(dòng)搖有必定預(yù)示感化，而且股票市場的動(dòng)搖變更方法先于微觀經(jīng)濟(jì)的動(dòng)搖；從股票市場與內(nèi)部經(jīng)濟(jì)情況相干性角度動(dòng)手的研討，年夜部門以為只要在經(jīng)濟(jì)較為蓬勃的國度或地域，，股票市場才會(huì)對經(jīng)濟(jì)成長有明顯影響。但是，也有一些研討以為，即便在成長中國度，股票市場和經(jīng)濟(jì)增加之間依然存在必定水平的相干關(guān)系，經(jīng)由過程成長股票市場，可以到達(dá)增進(jìn)經(jīng)濟(jì)增加的目標(biāo)；基于股票市場和經(jīng)濟(jì)變量相干性的研討中，則因?yàn)檫x擇變量分歧而獲得各分歧成果。關(guān)于我國股票市場和經(jīng)濟(jì)增加相干性的研討則年夜部門都以為我國股票市場和經(jīng)濟(jì)增加之間其實(shí)不存在明顯相干關(guān)系。對股票市場的相干概念停止梳理后，可以發(fā)明股票市場存在兩年夜主要特色，其一是均值回歸，即股票價(jià)錢不管是高于或低于價(jià)值中樞，都存在向價(jià)值中樞（內(nèi)涵價(jià)值）回歸的趨向，均值回歸特色也從一個(gè)正面反應(yīng)出，股票價(jià)錢并不是在每個(gè)時(shí)點(diǎn)上都邑實(shí)時(shí)精確的反應(yīng)股票市場的一切信息，而發(fā)生這一景象的緣由可以經(jīng)由過程引入均勻感性的概念來停止說明，均勻感性也是股票市場的第二個(gè)特色。基于這兩個(gè)特色和包含有用市場假說在內(nèi)的其它相干實(shí)際，本文提出了股票市場有用周期的界說，作為婚配周期實(shí)際的主要實(shí)際基本的有用周期是指：在市場中必定存在一個(gè)足夠長的時(shí)光周期，使時(shí)段內(nèi)的均勻證券價(jià)錢可以或許反應(yīng)該段時(shí)光內(nèi)的一切信息，此時(shí)的市場為有用市場。以有用周期作為重要實(shí)際基本，本文提出了股票市場和經(jīng)濟(jì)增加的婚配周期這一實(shí)際，并表述為：反應(yīng)股票更改幅度的股價(jià)指數(shù)與反應(yīng)經(jīng)濟(jì)增加的目標(biāo)之間，其實(shí)不是在任何一個(gè)時(shí)點(diǎn)或一個(gè)特定的時(shí)光段都是互相婚配的，然則必定會(huì)有一個(gè)足夠長的時(shí)光段使二者具有極強(qiáng)的相干性或許稱為互相婚配，這個(gè)時(shí)光段就被界說為股票市場與經(jīng)濟(jì)增加的婚配周期�；榕渲芷趯�(shí)際的意義在于不只可以權(quán)衡股票市場的完美水平，還可以或許對經(jīng)濟(jì)增加和股票市場成長關(guān)系停止權(quán)衡。關(guān)于普通的市場來講，更加達(dá)的股票市場對經(jīng)濟(jì)的影響就越年夜，同時(shí)，更加達(dá)的微觀經(jīng)濟(jì)情況，對股票市場的影響也就越深入，兩者婚配周期就較短；反之，婚配周期就比擬長。關(guān)于婚配周期的驗(yàn)證，本文選用的重要實(shí)證研討辦法分離是熱最優(yōu)途徑法和穿插譜剖析辦法，熱最優(yōu)途徑法經(jīng)由過程物理學(xué)道理，對時(shí)光序列的搶先滯后關(guān)系停止剖析，而穿插譜剖析法是一種基于時(shí)域剖析基本上的頻域剖析辦法，用以肯定兩個(gè)時(shí)光序列的婚配關(guān)系。時(shí)域剖析辦法中包含了VAR模子和Granger因果磨練等辦法。應(yīng)用這些辦法，本文對世界重要股票價(jià)錢指數(shù)和經(jīng)濟(jì)增加之間的婚配周期分離停止了磨練，磨練的樣本包含：美國經(jīng)濟(jì)增加目標(biāo)和道瓊斯指數(shù)和尺度普爾指數(shù)的婚配周期、FTSE-100指數(shù)和英國經(jīng)濟(jì)增加的婚配周期、DAX指數(shù)和德國經(jīng)濟(jì)增加的婚配周期、日經(jīng)225指數(shù)和日本經(jīng)濟(jì)增加的婚配周期。經(jīng)由磨練發(fā)明，這些股票價(jià)錢指數(shù)與經(jīng)濟(jì)增加之間都存在著分歧時(shí)光長度的婚配周期，進(jìn)一步解釋這些股票價(jià)錢指數(shù)與經(jīng)濟(jì)增加之間存在著優(yōu)越的互動(dòng)關(guān)系和婚配性。但是，對我國的股票市場和經(jīng)濟(jì)增加停止磨練后發(fā)明，在我國，這類婚配關(guān)系尚不克不及被測算到。這解釋我國股票市場依然處于成長早期，與蓬勃國度的股票市場之間存在著極年夜的差距，股票市場對微觀經(jīng)濟(jì)的代表性還遠(yuǎn)遠(yuǎn)不敷。我國股票市場的出生和成長過程較為特別，股票市場的成長一直隨同著當(dāng)局政策的引誘和管束。與普通股市中的當(dāng)局行動(dòng)比擬，我國當(dāng)局對股市的干涉手腕更多，干涉行動(dòng)也加倍頻仍。我國股市范圍擴(kuò)大的進(jìn)程中，其對資本的優(yōu)化設(shè)置裝備擺設(shè)，會(huì)聚分歧風(fēng)險(xiǎn)偏好投資者的資金和增進(jìn)經(jīng)濟(jì)成長的感化日趨明顯。但是，疾速成長的股票市場中市場掉靈和當(dāng)局掉靈景象卻也在頻仍的涌現(xiàn)�；诠善笔袌雠c經(jīng)濟(jì)增加的婚配周期實(shí)際，并聯(lián)合美國的多條理多元化股票市場勝利經(jīng)歷，可以發(fā)明，要真正完成股票市場的安康連續(xù)成長，我國當(dāng)局必需要從新定位本身在股票市場中的監(jiān)管本能機(jī)能，樹立卓有成效的上市公司進(jìn)入和加入渠道，轉(zhuǎn)變以后股票市場“只進(jìn)不出”的格式，應(yīng)用市場機(jī)制的優(yōu)越劣汰加強(qiáng)股票市場對微觀經(jīng)濟(jì)的代表性，從延長婚配周期和加強(qiáng)股票市場與經(jīng)濟(jì)增加聯(lián)動(dòng)性角度對我國股票市場的進(jìn)一步成長停止深刻的改造和完美。

Abstract:

The stock market is the important component of the capital market, from the point of view of the global scale, the effect of stock market was not limited to the growth of corporate financing, financing, is the optimization of all economic and social capital to set equipment, furnishings useful platform. The stock market is becoming stronger and stronger, and the impact on the economy is becoming more and more obvious, and the stock market's big shake, which often leads to the change of the whole micro economy. Is, the stock market and the economy to increase mutual influence mechanism of the research is increasingly valued. However, from the date of birth of the stock market, the stock market and economic growth of the coherence of the research has been in dispute. In the late period, the research is mostly confined to the study of whether the two can betray, but also there is a large amount of empirical evidence to comment on the two of the two tendencies. The author thinks that a stock market and economic increase coherent form of research, in fact, can not pure attachment empirical research to confirm the conclusion. On the contrary, should be first from a practical point of view, hands on both mutual action mechanism analysis, then ability to the actual basic, the coherent form to carry on the empirical analysis and in order to obtain more reliable conclusions. Summarize the domestic and foreign relevant research results, not difficult to find the existing research on stock market and economic increase and no fixing different conclusions. From the stock market and micro economic shake point to start research would probably think of the stock market changes on economic fluctuation is surely indicative and stock market shake change method earlier than that of micro economy falter; from the stock market and the internal economic coherence angles in military research, Nianye sector thought as long as in economy, more vigorous country or region, the stock market will be on economic growth has a significant effect. However, there are some research thought, even in developing countries, between the stock market and economic growth still exists a certain degree of coherence relations, through the process of growth in the stock market, can arrive to promote economic growth; based on the study of stock market and economic variable coherence, because the choice of variable differences obtained the different results. The research on the correlation between stock market and economic growth in our country has no obvious relationship between stock market and economic growth. To stock market related to the concept of carding, invention of the stock market has two of the eve of the main features. The first is a regression to the mean that the stock price whether above or below the central value, there is a trend of returning to the central value (intrinsic value), mean reversion characteristics from a positive reaction out, stock prices and not on each point of cities accurately in real time the stock market reaction of all the information, and this phenomenon causes can be through the process of introducing the concept of perceptually uniform to stop that, perceptually uniform is the second feature of the stock market. Based on these two characteristics and contains the efficient markets hypothesis, other related theory, this paper presents the definition of useful stock market cycle, as actual mating cycle mainly basic and practical useful cycle is refers to: in the market must exist for a long enough period of time, the period of the uniform securities price can probably reflects all the information within the period of time, when the market is useful for market. In a useful cycle as important basic theory, this paper presents stock market and economic increase mating cycle, the actual, and is stated as: reaction stock change increased the magnitude of the stock price index and economic goals between, in fact, not at any one point in time or a particular time period are mutual matching, however, will have a long enough time the two have strong coherence may call for mating with each other. This time period is defined as stock market and economic growth from the mating cycle. Mating cycle practical significance lies in not only can weigh the perfect level of stock market, perhaps to economic growth and stock market growth measure can also be. On the common market, more than the stock market on the economic impact is larger. At the same time, more of the macroeconomic situation, the impact on the stock market more in-depth, both mating cycle is short; on the contrary, mating cycle relatively long. Validation of mating cycle, selected important empirical research methods separation is optimal heat method and interspersed with spectrum analysis method, optimal heat method through physics sense, on time sequence preemptive lag relationship analysis, and interspersed with spectral analysis method is a basic Yu Shiyu analysis basic on the frequency domain analysis method, to determine the matching relationship between the two time series. Time domain analysis includes the VAR model and Granger causality test method. Application of these methods, this paper on world stock price index and economic growth between mating cycles to separate stop honed their skills and training samples contain: the economy increase goals and the Dow Jones Industrial Average and the standard & Poor's index of mating cycle, the FTSE-100 index and the British economy increased mating cycle, DAX index and the German economy increased mating cycle, the Nikkei 225 index and the Japanese economy to increase the mating period. By means of training, the stock price index and economic growth have different time length of marriage...

目錄:

摘要4-6Abstract6-8第1章 緒論11-15    1.1 研究背景與研究意義11-12    1.2 研究方法與技術(shù)路線12-14    1.3 本文的創(chuàng)新之處14-15第2章 文獻(xiàn)及研究綜述15-27    2.1 股票市場與宏觀經(jīng)濟(jì)波動(dòng)相關(guān)性的研究15-18    2.2 股票市場與外部經(jīng)濟(jì)環(huán)境相關(guān)性的研究18-20    2.3 股票市場與不同經(jīng)濟(jì)變量相關(guān)性的研究20-22    2.4 中國股票市場與經(jīng)濟(jì)增長互動(dòng)性的研究22-24    2.5 本章小結(jié)24-27第3章 股票市場和經(jīng)濟(jì)增長的相關(guān)理論27-41    3.1 股票市場的波動(dòng)理論27-31    3.2 經(jīng)濟(jì)增長及周期理論31-35    3.3 股票市場與經(jīng)濟(jì)增長的交互作用機(jī)制35-38    3.4 本章小結(jié)38-41第4章 股票市場與經(jīng)濟(jì)增長匹配周期的理論推演41-49    4.1 有效周期理論的提出41-44    4.2 股票市場與經(jīng)濟(jì)增長匹配周期理論的邏輯體系44-45    4.3 股票市場與經(jīng)濟(jì)增長匹配周期理論的內(nèi)涵45-46    4.4 股票市場與經(jīng)濟(jì)增長匹配周期理論的經(jīng)濟(jì)學(xué)意義46-47    4.5 本章小結(jié)47-49第5章 相關(guān)實(shí)證方法概述49-59    5.1 數(shù)據(jù)和實(shí)證方法的選擇49-51    5.2 熱最優(yōu)路徑法51-54    5.3 交叉譜分析法54-56    5.4 本章小結(jié)56-59第6章 美國主要股指與經(jīng)濟(jì)增長匹配周期的實(shí)證檢驗(yàn)59-81    6.1 美國股市的發(fā)展歷程59-61    6.2 數(shù)據(jù)的選取和處理61-66    6.3 DJIA 和 S&P 與美國經(jīng)濟(jì)增長匹配的周期檢驗(yàn)66-78    6.4 本章小結(jié)78-81第7章 歐盟主要成員國股指與經(jīng)濟(jì)增長匹配周期的實(shí)證檢驗(yàn)81-99    7.1 FTSE-100 指數(shù)及其與英國經(jīng)濟(jì)增長匹配周期的檢驗(yàn)81-89    7.2 DAX 指數(shù)及其與德國經(jīng)濟(jì)增長的匹配周期檢驗(yàn)89-97    7.3 本章小結(jié)97-99第8章 日經(jīng)指數(shù)與日本經(jīng)濟(jì)增長匹配周期的檢驗(yàn)99-111    8.1 日本經(jīng)濟(jì)發(fā)展和日經(jīng)指數(shù)的特點(diǎn)99-100    8.2 數(shù)據(jù)選取與處理100-102    8.3 熱最優(yōu)路徑分析102-104    8.4 交叉譜分析104-109    8.5 本章小結(jié)109-111第9章 我國股票市場與經(jīng)濟(jì)增長匹配周期的研究111-125    9.1 相關(guān)文獻(xiàn)回顧111-112    9.2 我國股票市場的描述性分析112-114    9.3 我國股票市場與經(jīng)濟(jì)增長匹配周期的實(shí)證分析114-122    9.4 本章小結(jié)122-125第10章 股票市場的政府行為分析——基于匹配周期視角125-149    10.1 股票市場的政府行為理論126-139    10.2 股票市場失靈及其對匹配周期的影響139-141    10.3 我國股票市場失靈和政府行為特征141-144    10.4 我國股票市場的優(yōu)化路徑分析144-149總結(jié)與展望149-151參考文獻(xiàn)151-159攻讀學(xué)位期間發(fā)表的學(xué)術(shù)論文及取得的科研成果159-161致謝161

參考文獻(xiàn)

  本文關(guān)鍵詞：股票市場與經(jīng)濟(jì)增長匹配周期的研究，由筆耕文化傳播整理發(fā)布。