本文選題：宏觀經(jīng)濟(jì)　切入點(diǎn)：股票市場(chǎng)　出處：《南昌大學(xué)》2014年碩士論文　論文類型：學(xué)位論文

【摘要】：股票市場(chǎng)作為國(guó)民經(jīng)濟(jì)的重要組成部分，股票市場(chǎng)的發(fā)展對(duì)國(guó)民經(jīng)濟(jì)的發(fā)展起到重要的推動(dòng)作用，同時(shí)股票市場(chǎng)的運(yùn)行又受到整個(gè)國(guó)民經(jīng)濟(jì)發(fā)展形勢(shì)的制約。一個(gè)國(guó)家的經(jīng)濟(jì)發(fā)展水平往往決定著股票市場(chǎng)的發(fā)展水平，同時(shí)股票市場(chǎng)的興衰也直接反應(yīng)宏觀經(jīng)濟(jì)發(fā)展?fàn)顩r。很多研究表明，歐美等成熟市場(chǎng)經(jīng)濟(jì)國(guó)家，其宏觀經(jīng)濟(jì)運(yùn)行與股票市場(chǎng)的走勢(shì)長(zhǎng)期關(guān)系基本是一致的，宏觀經(jīng)濟(jì)的運(yùn)行與股票市場(chǎng)的波動(dòng)具有一定的協(xié)同關(guān)系。股票市場(chǎng)作為國(guó)民經(jīng)濟(jì)發(fā)展的先行指標(biāo)，對(duì)于把握宏觀經(jīng)濟(jì)走勢(shì)，引導(dǎo)政府制定相應(yīng)的政策，指導(dǎo)投資者進(jìn)行投資等具有重要的作用。 與西方發(fā)達(dá)國(guó)家相比，中國(guó)股票市場(chǎng)從產(chǎn)生到現(xiàn)在只有二十余年的歷史，中國(guó)股票市場(chǎng)不管是從發(fā)展歷史的長(zhǎng)短、投資者的構(gòu)成、相關(guān)規(guī)章制度的建設(shè)以及監(jiān)管水平來(lái)講，與西方發(fā)達(dá)國(guó)家成熟的股票市場(chǎng)都有較大的差距。從中國(guó)股票市場(chǎng)運(yùn)行與宏觀經(jīng)濟(jì)運(yùn)行來(lái)看，，股票市場(chǎng)作為國(guó)民經(jīng)濟(jì)先行指標(biāo)、宏觀經(jīng)濟(jì)“晴雨表”的功能并沒(méi)有得到體現(xiàn)。 本文在前人研究的基礎(chǔ)上，探討中國(guó)宏觀經(jīng)濟(jì)與中國(guó)股票市場(chǎng)的相關(guān)性，論文分為理論研究與實(shí)證分析部分。理論研究部分主要回顧有關(guān)宏觀經(jīng)濟(jì)與股票市場(chǎng)相關(guān)性的理論和文獻(xiàn)，為后面的實(shí)證分析打下理論基礎(chǔ)。實(shí)證分析分為兩大部分，第一部分運(yùn)用周期理論，通過(guò)對(duì)1992年—2013年中國(guó)GDP增長(zhǎng)率與上證指數(shù)年末收盤(pán)指數(shù)的走勢(shì)圖的分析，同時(shí)對(duì)比美國(guó)同一時(shí)期的數(shù)據(jù)，發(fā)現(xiàn)中國(guó)宏觀經(jīng)濟(jì)與中國(guó)股票市場(chǎng)在這段時(shí)間內(nèi)走勢(shì)吻合度約為40%，而美國(guó)為72%。同時(shí)中國(guó)宏觀經(jīng)濟(jì)走過(guò)的周期數(shù)與股票市場(chǎng)走過(guò)周期數(shù)不同，而美國(guó)宏觀經(jīng)濟(jì)與股票市場(chǎng)走過(guò)的周期數(shù)目是相同的，初步判斷中國(guó)宏觀經(jīng)濟(jì)的走勢(shì)與中國(guó)股票市場(chǎng)的走勢(shì)存在較大程度的背離。實(shí)證分析的第二部分是基于VAR（VEC）模型的中國(guó)宏觀經(jīng)濟(jì)與股票市場(chǎng)的相關(guān)性分析。模型分析分為橫向比較和縱向比較；橫向比較分析是指中國(guó)與美國(guó)的比較，之所以選擇與美國(guó)比較，是因?yàn)槊绹?guó)是擁有發(fā)達(dá)的市場(chǎng)經(jīng)濟(jì)和成熟高效的股票市場(chǎng)，而且美國(guó)宏觀經(jīng)濟(jì)與股票市場(chǎng)相關(guān)性強(qiáng)。選用1992年—2012年中國(guó)季度GDP數(shù)據(jù)與上證指數(shù)季度末收盤(pán)值作為樣本數(shù)據(jù)，建立VAR(VEC)模型分析，作為對(duì)比分析，選取同時(shí)期美國(guó)季度GDP數(shù)據(jù)與標(biāo)普500指數(shù)季度末收盤(pán)值作為樣本數(shù)據(jù)進(jìn)行VAR(VCE)模型分析�？v向比較分析是指以2005年中國(guó)股權(quán)分置改革為分界點(diǎn)，將股權(quán)分置改革后的2005年——2013年稱為后期，股權(quán)分置改革前選取相同長(zhǎng)度時(shí)間段的1996年——2004年稱為前期，選取前期和后期的中國(guó)月度GDP數(shù)據(jù)與上證指數(shù)月度末收盤(pán)值分別進(jìn)行VAR（VEC）模型分析。 研究結(jié)果得出以下結(jié)論，橫向中國(guó)與美國(guó)的比較分析顯示，中國(guó)股票市場(chǎng)的運(yùn)行效率低；中國(guó)宏觀經(jīng)濟(jì)能對(duì)來(lái)自中國(guó)股票市場(chǎng)的波動(dòng)作出正確的反應(yīng)，但是中國(guó)股票市場(chǎng)不能對(duì)來(lái)自宏觀經(jīng)濟(jì)的波動(dòng)作出正確的反應(yīng)；中國(guó)宏觀經(jīng)濟(jì)與股票市場(chǎng)的相關(guān)性很弱，并且相關(guān)性弱的原因主要在中國(guó)股票市場(chǎng)�？v向股權(quán)分置改革后期與前期比較顯示，中國(guó)股票市場(chǎng)自身存在的問(wèn)題沒(méi)有得到明顯的改善，但是中國(guó)股票市場(chǎng)對(duì)中國(guó)經(jīng)濟(jì)的影響在增強(qiáng)。
[Abstract]:The stock market is an important part of the national economy, the development of the stock market on the development of the national economy plays an important role at the same time, the stock market operation is also restricted by the development of the entire national economy situation. A country's level of economic development determines the development level of the stock market, and the rise and fall of stock market also directly response to the situation of macro economy. Many studies show that Europe and other mature market economy, the macro economy and the trend of the stock market long-term relationship is consistent with the basic operation, and the stock market macroeconomic volatility has a certain synergy. The stock market as a leading indicator of national economic development, to grasp the macro economic trend guide the government to formulate corresponding policies, plays an important role in guiding the investors to make investment.
Compared with western developed countries, Chinese stock market from now to have only twenty years of history, China stock market whether it is from the development of history, investors, construction of relevant rules and regulations and the supervision level, and the western developed countries mature stock market has a larger gap from the stock market and Chinese. The macro economy, the stock market as the index of national economy first, macroeconomic "barometer" function has not been reflected.
Based on the previous research, to investigate the correlation between Chinese Chinese macro economy and the stock market, the thesis is divided into theoretical research and empirical analysis. The theoretical research part mainly reviews the relationship between macro economy and stock market theory and literature, lay a theoretical foundation for subsequent empirical analysis. The empirical analysis is divided into two parts, the first part of the application of cycle theory, based on the 1992 - 2013 China GDP growth rate analysis and the Shanghai index at the end of the closing index chart, and data compared to the United States during the same period, found Chinese macroeconomic and Chinese stock market during this period of time the trend coincides with about 40%, while the United States is the number of cycles and the stock market 72%. also Chinese macroeconomic passing cycle number and the number of different period of American macro economy and stock market in the past is the same, the preliminary judgment of Chinese macro The concept of economic development and the trend of the stock market has deviated from the Chinese greatly. The second part of the empirical analysis is based on VAR (VEC) China correlation analysis of macro economy and stock market model. Model analysis is divided into horizontal and vertical comparison; comparative analysis refers to the comparison with the United States and the United States chose China. Comparison is because the United States has developed market economy and the mature and efficient stock market, and the macroeconomic and stock market from 1992 to 2012. The strong correlation between the Chinese quarter GDP data and the Shanghai index at the end of the season closing value as the sample data, the establishment of VAR (VEC) as model analysis, comparative analysis, select the same period in the United States quarter GDP data and the S & P 500 index at the end of the quarter closing value as the sample data of VAR (VCE) model. The longitudinal comparative analysis refers to the ownership of a share in 2005 China Reform as the cut-off point, the equity division reform after 2005 2013 called late, non tradable share reform in 1996 before the selection of the same length of time periods -- 2004 known as the early selection of early and late Chinese monthly GDP data and the Shanghai index monthly end closing value were VAR (VEC) model.
The results of the study concluded that the transverse China and America comparative analysis showed that the efficiency of Chinese low stock market; macroeconomic Chinese can make the correct response to the China from the volatility of the stock market, but the stock market can not Chinese out the correct response to the wave action from the macro economy; correlation Chinese macroeconomic and stock market the reason is very weak, and the weak correlation between the main China in the stock market. The vertical equity division reform and pre post comparison showed that Chinese stock market's own problems have not been significantly improved, but the impact of stock market on economic Chinese Chinese enhanced.

【學(xué)位授予單位】：南昌大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F224;F124;F832.51

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