本文選題：貨幣供給　切入點(diǎn)：資金價(jià)格　出處：《上海交通大學(xué)》2014年碩士論文　論文類型：學(xué)位論文

【摘要】：在判斷股票市場(chǎng)的走勢(shì)時(shí)，常常認(rèn)為它受到與宏觀經(jīng)濟(jì)息息相關(guān)的宏觀流動(dòng)性狀況的影響，宏觀流動(dòng)性的變化不僅反應(yīng)在宏觀貨幣供應(yīng)量和貨幣市場(chǎng)資金價(jià)格上，也會(huì)反應(yīng)到股票市場(chǎng)當(dāng)中。那么股票作為一種流動(dòng)性較高的金融產(chǎn)品，是如何受到宏觀貨幣供應(yīng)量和貨幣市場(chǎng)資金價(jià)格的影響的？其影響究竟有多大？時(shí)間有多長(zhǎng)？那么宏觀流動(dòng)性的變動(dòng)是僅僅影響股票價(jià)格，還是會(huì)影響公司的盈利能力？對(duì)不同類型的公司是否會(huì)有所不同？ 本文首先選取2004-2014年的宏觀市場(chǎng)數(shù)據(jù)，建立VAR模型，討論宏觀流動(dòng)性與股票價(jià)格二者之間的動(dòng)態(tài)影響過(guò)程，接著以2004-2013年中國(guó)A股市場(chǎng)數(shù)據(jù)為樣本，建立面板數(shù)據(jù)模型，實(shí)證檢驗(yàn)公司盈利能力和股票價(jià)格受宏觀流動(dòng)性的影響程度，并且對(duì)公司按不同負(fù)債類型和不同行業(yè)進(jìn)行分類，觀察結(jié)果是否會(huì)有所不同。 實(shí)證結(jié)果表明，在宏觀貨幣供給充足、資金成本低的情況下，企業(yè)的盈利能力會(huì)有所提升，，且對(duì)周期性行業(yè)來(lái)講更加明顯。宏觀流動(dòng)性與股票價(jià)格成正向關(guān)系，宏觀流動(dòng)性越充足，股票的回報(bào)率越高。但宏觀流動(dòng)性的對(duì)股票市場(chǎng)的影響只體現(xiàn)在短期股票價(jià)格的變動(dòng)上，而長(zhǎng)期對(duì)股票價(jià)格的影響較弱。此外宏觀流動(dòng)性會(huì)影響股票市場(chǎng)對(duì)負(fù)債率的定價(jià)，宏觀流動(dòng)性充足時(shí)，會(huì)削弱股票市場(chǎng)對(duì)公司負(fù)債率的反應(yīng)，同樣對(duì)周期性行業(yè)來(lái)說(shuō)，上述結(jié)論也更加明顯。
[Abstract]:In judging the trend of the stock market, it is often assumed that the stock market is affected by the macro-liquidity situation, which is closely related to the macro-economy. The change of macro-liquidity is not only reflected in the macro-money supply and the price of money market funds. It will also be reflected in the stock market. So how is the stock, as a highly liquid financial product, affected by the macro money supply and the money market capital price? How big is the impact? How long is it? So does the change of macro liquidity affect only the stock price, or will it affect the profitability of the company? Will it be different for different types of companies? This paper firstly selects the macro-market data from 2004-2014, establishes the VAR model, discusses the dynamic influence process between macro liquidity and stock price, and then takes the data of China A-share market from 2004-2013 as a sample to establish a panel data model. The paper empirically tests the degree of corporate profitability and stock price affected by macro liquidity, and classifies the companies according to different debt types and different industries, and observes whether the results will be different. The empirical results show that when the macro money supply is sufficient and the cost of capital is low, the profitability of enterprises will be improved, and it will be more obvious to the cyclical industries. The macro liquidity has a positive relationship with the stock price. The higher the macro liquidity, the higher the return on stocks. But the impact of macro liquidity on the stock market is only reflected in short-term stock price movements, In addition, macro liquidity will affect the pricing of debt ratios in the stock market. When the macro liquidity is sufficient, it will weaken the reaction of the stock market to the debt ratio of companies, as well as the cyclical industries. The above conclusion is also more obvious.
【學(xué)位授予單位】：上海交通大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F822.2;F832.51

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