【摘要】：股票市場(chǎng)價(jià)格波動(dòng)迅速，價(jià)格波動(dòng)反映的是市場(chǎng)情緒的變化，更是市場(chǎng)對(duì)未來預(yù)期的變化。因此，在西方成熟市場(chǎng)中，股票市場(chǎng)常被視為宏觀經(jīng)濟(jì)的晴雨表。 為了更好的理解我國(guó)股票市場(chǎng)，理清市場(chǎng)變動(dòng)與宏觀經(jīng)濟(jì)間紛繁復(fù)雜的關(guān)系，本文以市場(chǎng)常用的市盈率和市凈率指標(biāo)作為切入點(diǎn)，分析了滬深300指數(shù)成分股的整體市盈率和整體市凈率指標(biāo)對(duì)于未來宏觀經(jīng)濟(jì)指標(biāo)的預(yù)測(cè)能力，并且比較了二者的預(yù)測(cè)能力強(qiáng)弱。 通過理論分析和公式推導(dǎo)，本文首先總結(jié)并闡述了市盈率和市凈率指標(biāo)能夠預(yù)測(cè)未來信息的理論基礎(chǔ)，并且解釋了各指標(biāo)包含的預(yù)期信息。本文還選取了廣義貨幣供應(yīng)量增速、宏觀經(jīng)濟(jì)領(lǐng)先指數(shù)、全社會(huì)用電量增速、人民幣兌美元NDF匯率和一年期國(guó)債到期收益率這五個(gè)宏觀經(jīng)濟(jì)指標(biāo)，從多角度刻畫宏觀經(jīng)濟(jì)形勢(shì)。利用各指標(biāo)自2000年以來的月度時(shí)間序列數(shù)據(jù)，分別與整體市盈率和市凈率進(jìn)行向量自回歸實(shí)證分析。實(shí)證結(jié)果表明，，市盈率和市凈率指標(biāo)確實(shí)能夠預(yù)測(cè)宏觀經(jīng)濟(jì)形勢(shì)，比較而言，市凈率指標(biāo)對(duì)于宏觀經(jīng)濟(jì)的預(yù)測(cè)能力更強(qiáng)。基于此結(jié)論，我們建議投資者加強(qiáng)對(duì)于市凈率指標(biāo)的研究和應(yīng)用。
[Abstract]:The stock market price fluctuates rapidly, the price fluctuation reflects the change of the market sentiment, but also the change of the market expectation for the future. Therefore, in the western mature market, the stock market is often regarded as the macroeconomic barometer. In order to better understand the stock market in China and to clarify the complex relationship between market changes and macroeconomic, this paper takes the price-to-earnings ratio and price-to-book ratio as the starting point. This paper analyzes the forecasting ability of the whole price-to-earnings ratio and the whole price-to-book ratio index of the Shanghai and Shenzhen 300 index for the future macroeconomic index, and compares the prediction ability of the two indexes. Through theoretical analysis and formula derivation, this paper first summarizes and expounds the theoretical basis that the index of price-to-earnings ratio and price-to-book ratio can predict the future information, and explains the expected information contained in each index. This paper also selects five macro-economic indicators, namely, the generalized money supply growth rate, the leading macroeconomic index, the total social electricity consumption growth rate, the RMB / dollar NDF exchange rate and the maturity yield of one-year treasury bonds, to describe the macroeconomic situation from many angles. Using the monthly time series data of each index since 2000, the empirical analysis of vector autoregressive analysis is carried out with the overall price-to-earnings ratio and price-to-book ratio respectively. The empirical results show that the index of price-to-book ratio and price-to-book ratio can really predict the macroeconomic situation, compared with the index of price-to-book ratio, it is more powerful to predict the macroeconomic situation. Based on this conclusion, we suggest that investors strengthen the research and application of price-to-book ratio index.
【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】：2013
【分類號(hào)】：F832.51;F224

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本文編號(hào)：2370580