發(fā)布時(shí)間：2018-02-12 17:21

  本文關(guān)鍵詞： 股市周期 經(jīng)濟(jì)周期 VAR模型 Johnson協(xié)整檢驗(yàn)　出處：《西南交通大學(xué)》2016年碩士論文　論文類型：學(xué)位論文

【摘要】：對現(xiàn)代金融市場而言,股票市場是其不可或缺的重要組成部分,一直被視為經(jīng)濟(jì)發(fā)展的“晴雨表”。股票市場的發(fā)展對于經(jīng)濟(jì)的增長、市場機(jī)制的改革以及企業(yè)的成長有重要作用。對現(xiàn)代金融市場而言,表明股市周期與經(jīng)濟(jì)周期關(guān)系密切,經(jīng)濟(jì)自身的周期性運(yùn)行是引起股市波動的最根本的原因。從理論上而言,股票市場的運(yùn)行規(guī)律與宏觀經(jīng)濟(jì)的運(yùn)行規(guī)律應(yīng)該具有一致性,宏觀經(jīng)濟(jì)的走勢變化會引起股市的上下波動,而股市的周期性變動又可以提前反應(yīng)經(jīng)濟(jì)的走勢,進(jìn)而影響國民經(jīng)濟(jì)的發(fā)展方向。所以對經(jīng)濟(jì)周期與股市周期存在的關(guān)聯(lián)性分析可以幫助我們準(zhǔn)確把握經(jīng)濟(jì)和股市運(yùn)行的規(guī)律,也為政府制定宏觀調(diào)控政策和促進(jìn)股市健康發(fā)展提供了理論基礎(chǔ)。本文選取了GDP的季度增長率和上證指數(shù)季度收益率來研究股票周期與經(jīng)濟(jì)周期。先是對GDP季度數(shù)據(jù)進(jìn)行Census-X12處理去掉季節(jié)因素與不規(guī)則因素的干擾,然后用H-P濾波將趨勢因素與周期因素分離,得到經(jīng)濟(jì)周期圖,對上證指數(shù)用H-P濾波將趨勢因素與周期因素分離,得到股市周期圖并對圖形進(jìn)行初步的分析,得到二者在長期內(nèi)具有一定程度的一致性。然后對二者進(jìn)行實(shí)證分析,實(shí)證分析部分是先從完整區(qū)間進(jìn)行分析,然后對子期間進(jìn)行分析。在完整期間中,先是要對GDP增長率與股指收益率時(shí)間序列分別進(jìn)行ADF檢驗(yàn),以此來確定兩組序列的平穩(wěn)性,緊接著建立向量自回歸VAR模型,然后對模型進(jìn)行格蘭杰因果檢驗(yàn)、脈沖分析、方差分析,得到在長期內(nèi)股市周期可以引導(dǎo)經(jīng)濟(jì)周期,但是經(jīng)濟(jì)周期對股市周期的影響卻不明顯。在子期間的研究中發(fā)現(xiàn),在子期間中經(jīng)濟(jì)周期與股市周期在長期內(nèi)不存在協(xié)整關(guān)系,即二者的運(yùn)行出現(xiàn)了背離。而且以上分析發(fā)現(xiàn),二者雖然在長期內(nèi)有一定的趨同性,但是在個(gè)別時(shí)間內(nèi)也存在著背離。本文重點(diǎn)分析了我國股市周期與經(jīng)濟(jì)周期發(fā)生背離的原因,從我國經(jīng)濟(jì)增長存在的原因,股市運(yùn)行中自身的不足、政府的干預(yù)以及監(jiān)管制度和投資者的投機(jī)行為、心理預(yù)期等方面進(jìn)行了詳細(xì)的研究。最后,對于我國經(jīng)濟(jì)的增長,股市的健康有序發(fā)展提出了建議,希望我國股市能夠有效的發(fā)揮經(jīng)濟(jì)“晴雨表”的作用,同時(shí)也指出了本文的不足之處。
[Abstract]:For the modern financial market, the stock market is an indispensable part of it, and has been regarded as a "barometer" of economic development. The reform of market mechanisms and the growth of enterprises play an important role. For modern financial markets, the stock market cycle is closely related to the economic cycle. The cyclical operation of the economy itself is the most fundamental reason for the fluctuation of the stock market. In theory, the operation law of the stock market should be consistent with that of the macro economy. Changes in the trend of the macro economy will cause fluctuations in the stock market, and the cyclical changes in the stock market can reflect the trend of the economy in advance. Therefore, the analysis of the relationship between the economic cycle and the stock market cycle can help us accurately grasp the laws of the economy and the stock market. This paper selects the quarterly growth rate of GDP and the quarterly yield of Shanghai Stock Exchange Index to study the stock cycle and economic cycle. The data were processed with Census-X12 to remove the interference of seasonal factors and irregular factors. Then the trend factor and the cycle factor are separated by H-P filter, and the business cycle chart is obtained, and the trend factor and the periodic factor are separated by H-P filter for the index of Shanghai Stock Exchange, and the stock market cycle chart is obtained and the graph is analyzed preliminarily. The results show that there is a certain degree of consistency between them in the long run. Then the empirical analysis of the two is carried out. The part of the empirical analysis is to analyze them from the complete interval first, and then to analyze the sub-period. First, the GDP growth rate and the time series of stock index yield are tested by ADF to determine the stationarity of the two groups of sequences, then the vector autoregressive VAR model is established, and then the Granger causality test and pulse analysis are carried out on the model. The variance analysis shows that the stock market cycle can guide the economic cycle in the long run, but the influence of the business cycle on the stock market cycle is not obvious. There is no cointegration relationship between the business cycle and the stock market cycle in the long run, that is, there is a deviation from the operation of the two cycles, and the above analysis shows that although there is some convergence between the two periods in the long run, However, there are deviations in a few times. This paper focuses on the reasons for the deviation between the stock market cycle and the economic cycle in China, the reasons for the existence of economic growth in our country, and the shortcomings of the stock market itself in its operation. Government intervention, regulatory system and investors' speculative behavior, psychological expectations and other aspects have been studied in detail. Finally, suggestions for the healthy and orderly development of China's economy and stock market have been put forward. We hope that our stock market can effectively play the role of economic barometer, but also point out the shortcomings of this paper.
【學(xué)位授予單位】：西南交通大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2016
【分類號】：F832.51;F124.8

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