本文選題：經(jīng)濟發(fā)展 + 股票市場效率��； 參考：《吉林大學(xué)》2014年碩士論文

【摘要】：自股票誕生以來，一直吸引學(xué)者不斷研究，而隨著股票市場的發(fā)展完善，金融界對于股票的研究也逐漸形成理論體系,同時經(jīng)濟發(fā)展也是各個國家各個領(lǐng)域的學(xué)者永恒不變的研究課題，因此對于二者的關(guān)系，也格外吸引人們不斷探究。一些學(xué)者研究認(rèn)定，股票市場能夠促進經(jīng)濟增長，而有些學(xué)者持截然相反的意見，認(rèn)為股票市場阻礙經(jīng)濟發(fā)展。我國股票市場正式建成時間較晚，雖然發(fā)展速度迅猛，但仍然尚不成熟，亟需完善。因此針對我國的股票市場，研究其與經(jīng)濟發(fā)展之間的關(guān)系，，可以揭示股票市場對我國經(jīng)濟發(fā)展的推動力大小，并以此總結(jié)發(fā)現(xiàn)股票市場存在的問題，提出改進建議，更好的發(fā)揮市場功能，促進我國經(jīng)濟發(fā)展。 本文分別從理論和實證兩個角度出發(fā)，闡述股票市場效率和經(jīng)濟發(fā)展之間的關(guān)系。在論文主體中，首先回顧了經(jīng)濟增長和股票市場的相關(guān)理論，然后對我國股票市場效率與經(jīng)濟發(fā)展之間的關(guān)系做了理論分析，主要從積極影響與消極影響兩方面分別闡述，最后進行實證分析，采用1998年-2013年的數(shù)據(jù)，建立了VAR模型，進行ADF單位根檢驗、Johansen協(xié)整檢驗、格蘭杰檢驗以及脈沖響應(yīng)分析，從實證角度驗證了1998年-2013年我國股票市場效率與經(jīng)濟發(fā)展之間的動態(tài)關(guān)系，并得出結(jié)論進行分析。 經(jīng)研究可以得到以下結(jié)論：一，股票市場規(guī)模與經(jīng)濟發(fā)展之間存在長期正向均衡關(guān)系，股票市場流動性與經(jīng)濟發(fā)展之間存在長期負(fù)向均衡關(guān)系。二，我國股票市場效率的增長率與經(jīng)濟增長率之間存在格蘭杰因果關(guān)系。經(jīng)濟增長率均不是股票市場相關(guān)效率的增長率的格蘭杰原因，反過來，資本化率與交易率的增長率是經(jīng)濟增長率的格蘭杰原因，而換手率的增長率不是經(jīng)濟增長率的格蘭杰原因。三，在短期內(nèi)資本化率的增長率提高對我國經(jīng)濟產(chǎn)生正面影響，能夠加速經(jīng)濟增長；同時，交易率的增長率提高也會產(chǎn)生正面影響，但其影響效果持續(xù)性不大；而換手率的增長率提高在我國會對經(jīng)濟增長有立竿見影的負(fù)面影響。 最后，通過理論與實證兩部分分析，針對股票市場的規(guī)模效率與流動性效率分別提出了建議。
[Abstract]:Since the birth of the stock market, it has attracted scholars to study continuously. With the development of the stock market, the research on the stock market in the financial circles has gradually formed a theoretical system. At the same time, economic development is an eternal research topic for scholars in various fields of various countries, so the relationship between the two is especially attractive to people to explore. Some scholars believe that the stock market can promote economic growth, while some scholars hold the opposite view that the stock market hinders economic development. The stock market of our country is completed relatively late, although the speed of development is swift and violent, but it is still not mature, it needs to be perfected urgently. Therefore, in view of the stock market of our country, studying the relationship between it and economic development can reveal the driving force of the stock market to the economic development of our country, sum up the problems existing in the stock market, and put forward some suggestions for improvement. Better display the market function, promote our country economy development. This paper expounds the relationship between stock market efficiency and economic development from the theoretical and empirical perspectives. In the main body of the paper, the author reviews the relevant theories of economic growth and stock market, and then makes a theoretical analysis of the relationship between the efficiency of China's stock market and economic development, mainly from the two aspects of positive and negative effects. Finally, using the data from 1998 to 2013, the VAR model is established, and the ADF unit root test Johansen cointegration test, Granger test and impulse response analysis are carried out. This paper verifies the dynamic relationship between stock market efficiency and economic development from 1998 to 2013, and draws a conclusion. The conclusions are as follows: first, there is a long-term positive equilibrium relationship between stock market size and economic development, and a long-term negative equilibrium relationship between stock market liquidity and economic development. Secondly, Granger causality exists between the growth rate of stock market efficiency and economic growth rate. The economic growth rate is not the Granger cause of the growth rate of the relative efficiency of the stock market, in turn, the growth rate of the capitalization rate and the transaction rate is the Granger reason of the economic growth rate. The turnover rate of the growth rate is not the Granger reason for the economic growth rate. Third, in the short term, the increase of capitalization rate has a positive impact on our economy, which can accelerate the economic growth, meanwhile, the increase of transaction rate will also have a positive impact, but its effect is not sustainable. The increase of turnover rate in China will have an immediate negative impact on economic growth. Finally, through the theoretical and empirical analysis, the paper puts forward some suggestions on the scale efficiency and liquidity efficiency of stock market.
【學(xué)位授予單位】：吉林大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2014
【分類號】：F832.51;F124

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