影响我国股票价格的主要因素分析
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摘要
股票价格的变动受众多因素的影响,尤其是房地产股价的变动,研究这些因素与股价变动的关系有助于投资者理性认识股市。本研究是国家自然科学基金1(编号:70573066)资助的一部分,本文将股票价格的主要影响因素分为宏观经济与微观业绩两个方面,采用协整的方法对宏观经济与房地产股指之间的关系进行了实证研究,并以新浪财经房地产板块60家上市公司为例,对公司业绩与房地产股指进行了回归分析。总结全文工作,主要有以下三个方面:
1.提出了宏观经济与公司业绩是影响股票价格的主要因素
在对股票价格形成理论进行分析的基础上,提出在股票价格的众多影响因素中,宏观经济与公司业绩是影响股价的两个主要方面,并具体分析了这些因素如何影响股票价格的变动。
2.对宏观经济与房地产股指之间的关系进行了实证研究
以房地产板块为例,本文选取了9个宏观经济变量,应用协整的分析方法,对2001年1月到2008年3月宏观经济变量与房地产股指之间的关系进行实证,得出房地产股指与其中7个宏观经济变量之间存在协整的关系。
3.对公司业绩与房地产股指之间的关系进行了实证研究
以新浪财经房地产板块60家上市公司为样本,采用2001年第一季度到2008年第一季度的13个业绩指标数据与房地产股指进行回归分析,并将数据分为两组进行了对比分析。得出,与房地产股指关系较密切的业绩指标有每股收益和总资产增长率。最后,比较分析了宏观经济和公司业绩对房地产股指的影响,得出目前股票价格受宏观经济影响大于受公司业绩影响的结论。
本文结论为房地产投资者理性分析板块走势、调整公司经营目标以及政府制定房地产政策提供了一定的参考和借鉴。
There are many factors influencing stock prices, especially the real estate stock prices, studying these influencing factors can help investors know the stock market rationally. The research of this dissertation is the part of the projects2 supported by the National Natural Science Foundation of China (No.70573066). The paper studies the influencing factors of stock prices from macroeconomic and microeconomic aspects, and takes 60 real estate listed companies as sample from financial sina to make the empirical analysis on the relationship between the macroeconomic variables and the real estate stock indexes, the micro-company performance variables and the real estate stock indexes. The paper uses co-integration analysis and regression analysis to study the movement of stock prices. The main contents of the dissertation are as follows:
1. Putting forward the main influencing factors are macroeconomic factors and micro-company performance ones
Through analyzing the price forming theory of stock, the paper points out that the macroeconomic and micro-company performance are the main factors among many influencing ones, and studies these variables how to influence the stock prices.
2. Making an empirical analysis on the relationship between the macroeconomic variables and the real estate stock prices
The paper studies the relationship between real estate stock prices and 9 macroeconomic variables from 2001.1 to 2008.3 through co-integration analysis, and gets the conclusion that there are co-integration relationship between the real estate stock prices and 7 macroeconomic variables.
3. Making an empirical analysis on the relationship between the company performance variables and the real estate stock prices
Selecting 13 companies’performance variables of the real estate listed companies (60 companies) as sample from financial sina, the paper makes regression analysis on the performance variables and the real estate stock prices. The data is divided into two groups, and studied comparatively. The conclusion shows: two performance variables (the total assets growth radio and earnings per share) and real estate stock prices have a close relation. Finally, the paper compares the influence degree on real estate stock prices between macroeconomic variables and companies’performance variables, and gets the result: At present, the influence on stock prices from macroeconomic is deeper than from companies’performance.
The conclusions of the paper can help the real estate investors analyze and forecast the stock prices trend, help the real estate companies adjust operation targets, and provide basis for government’s real estate policies making.
1.提出了宏观经济与公司业绩是影响股票价格的主要因素
在对股票价格形成理论进行分析的基础上,提出在股票价格的众多影响因素中,宏观经济与公司业绩是影响股价的两个主要方面,并具体分析了这些因素如何影响股票价格的变动。
2.对宏观经济与房地产股指之间的关系进行了实证研究
以房地产板块为例,本文选取了9个宏观经济变量,应用协整的分析方法,对2001年1月到2008年3月宏观经济变量与房地产股指之间的关系进行实证,得出房地产股指与其中7个宏观经济变量之间存在协整的关系。
3.对公司业绩与房地产股指之间的关系进行了实证研究
以新浪财经房地产板块60家上市公司为样本,采用2001年第一季度到2008年第一季度的13个业绩指标数据与房地产股指进行回归分析,并将数据分为两组进行了对比分析。得出,与房地产股指关系较密切的业绩指标有每股收益和总资产增长率。最后,比较分析了宏观经济和公司业绩对房地产股指的影响,得出目前股票价格受宏观经济影响大于受公司业绩影响的结论。
本文结论为房地产投资者理性分析板块走势、调整公司经营目标以及政府制定房地产政策提供了一定的参考和借鉴。
There are many factors influencing stock prices, especially the real estate stock prices, studying these influencing factors can help investors know the stock market rationally. The research of this dissertation is the part of the projects2 supported by the National Natural Science Foundation of China (No.70573066). The paper studies the influencing factors of stock prices from macroeconomic and microeconomic aspects, and takes 60 real estate listed companies as sample from financial sina to make the empirical analysis on the relationship between the macroeconomic variables and the real estate stock indexes, the micro-company performance variables and the real estate stock indexes. The paper uses co-integration analysis and regression analysis to study the movement of stock prices. The main contents of the dissertation are as follows:
1. Putting forward the main influencing factors are macroeconomic factors and micro-company performance ones
Through analyzing the price forming theory of stock, the paper points out that the macroeconomic and micro-company performance are the main factors among many influencing ones, and studies these variables how to influence the stock prices.
2. Making an empirical analysis on the relationship between the macroeconomic variables and the real estate stock prices
The paper studies the relationship between real estate stock prices and 9 macroeconomic variables from 2001.1 to 2008.3 through co-integration analysis, and gets the conclusion that there are co-integration relationship between the real estate stock prices and 7 macroeconomic variables.
3. Making an empirical analysis on the relationship between the company performance variables and the real estate stock prices
Selecting 13 companies’performance variables of the real estate listed companies (60 companies) as sample from financial sina, the paper makes regression analysis on the performance variables and the real estate stock prices. The data is divided into two groups, and studied comparatively. The conclusion shows: two performance variables (the total assets growth radio and earnings per share) and real estate stock prices have a close relation. Finally, the paper compares the influence degree on real estate stock prices between macroeconomic variables and companies’performance variables, and gets the result: At present, the influence on stock prices from macroeconomic is deeper than from companies’performance.
The conclusions of the paper can help the real estate investors analyze and forecast the stock prices trend, help the real estate companies adjust operation targets, and provide basis for government’s real estate policies making.
引文
[1]
[2].
[3]杨成.会计信息对钢铁业股票价格影响作用的实证分析[D].武汉科技大学,2006,8-15.
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[7] Engel.R.F. and Granger.C.W.J.. Co-integration and error correction: Representation, estimation and testing [J]. Econometrica, 1987, 55:251-276.
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[9] Mukherjee.T.K. and Naka.A.. Dynamic relations between macroeconomic variables and the Japanese stock market: an application of a vector error-correction model [J]. The Journal of Financial Research, 1995, 18: 223-227.
[10] Harris and Richard.D.F.. Stock market and development are assessment [J]. European Economic Review.1997, 41: 139-146.
[11] Kwon.C.S. and Shan.T.S.. Cointegration and causality between macroeconomic variables and stock market returns [J]. Global Finance Journal, 1999, 10: 71-78.
[12] Maysami.R.C. and Koh.T.S.. A vector error correction model of the Singapore stock market [J].International Review of Economics and Finance.2000, 9: 79-96.
[13]谈儒勇.中国金融发展和经济增长关系的实证分析[J].经济研究,1999年第10期,53-61.
[14]王军波,邓述慧.中国利率政策和证券市场的关系的分析[J].系统工程理论与实践,1999第8期,18-22.
[15]唐齐鸣,李寿春.影响上海股市波动的因素分析[J].数量经济技术经济研究,2000年11期,62-65.
[16]李惠男,付晓梅.对股价指数变动影响因素的几点思考[J].学术交流,2001年第1期,82-85.
[17]刘金全,崔畅,邵欣炜.股票价格与实际利率之间长期协整与短期影响关系的实证检验[J].预测,2002年第5期,42-45.
[18]刘勇.我国股票市场和宏观经济变量关系的经验研究[J].财贸经济,2004年第4期,21-27.
[19]原素芬.基于季度数据的股票市场与宏观经济的研究[J].黑龙江对外经贸,2005年第10期,74-76.
[20]秦熠群.人民币汇率升值对资本市场影响分析[J].河南金融管理干部学院学报,2005年第12期,39-42.
[21]赵英杰.人民币汇率变动对股票市场的影响研究[D].北京工商大学,2006.6,11-17.
[22] Ball and Brown.R.P.. An empirical evaluation of accounting income numbers [J]. Journal of accounting research, 1968(Autumn): 159-178.
[23] Beaver.W.H., Clarke.R. and Wright.W.. The association between unsystematic security returns and the magnitude of earnings forecast error [J]. Journal of accounting research, 1979, 17:316-40.
[24] Beaver, Lambert and Ryan. The information content of security prices: a second look [J].Journal of accounting and economics, 1987(July):139-157.
[25] Bernard.V.L. and Thomas.J.K.. Evidence that stock prices do not fully react the implications of current earnings for future earnings. Journal of accounting and economics [J].1992, 13:305-340.
[26] Bernard.V.L. Stock price reaction to earnings announcements: a summary of recent anomalous evidence and possible explanations [M]. Thaler RH(Ed). Advances in Behavioral Finance, NewYork: Russell Sage Foundation, 1993.
[27] Joos.P. and Lang.M.. The effects of accounting diversity: evidence from the European Union. Journal of Accounting Research [J]. 1994, 32:141-168.
[28] Collins, Daniel.W., Edward.L.Maydew and Ira.S.Weiss. Changes in the value-relevance of earnings and book values over the past forty years [J]. Journal of accounting and economics, 1997, 24: 39-68.
[29] Roger.C, Graham and Raymond D.King. Accounting Practices and the Market Valuation of Accounting Numbers: Evidence from Indonesia, Korea, Malaysia, the Philippines, Taiwan and Thailand [J]. The International Journal of Accounting 2002, 35: 446- 470.
[30]李岳,王继平,归江.股价波动及相关因素的实证研究[J].数理统计与管理,1998年第6期,9-13.
[31]胡继之,于华.影响中国股市价格波动若干因素的实证分析[J].中国社会科学, 1999年第3期,68-87.
[32]穆良平,史代敏.股票市场波动与上市公司整体业绩的关联性[J].财经科学, 2002年第6期,78-80.
[33]黄应绘.沪市股票价格与上市公司业绩的关联性[J].统计与决策,2003年第6期,75-76.
[34]戴丽萍.财务指标与股票价格定位:一种实证研究[J].云南财贸学院学报,2004年第4期,66-70.
[35]李礼,洪源.我国上市公司业绩与股票价格之间关系的实证研究[J].经济问题探索,2005年第9期,113-115.
[36]晏艳阳,胡俊.股票价格与上市公司业绩的关联分析一对中国证券市场的研究[J].系统工程,2006年第8期,63-69.
[37]国琳.影响股票价格的财务因素分析及风险预警[D].天津大学,2006.1,14-34.
[38]张书云,夏秋.中国宏观经济变量平稳性分析[J].中央财经大学学报,2003年第2期,43-60.
[39]高霞.中国股票价格和宏观经济变量关系的实证分析[D].对外经贸大学,2005.4,4-11.
[40] Ram.in-Tiong. A Vector Error Correction Model of the Singapore Stock Market, International Review of Economics and Finance,2000,9(1): 79-96.
[41]文彬.人民币汇率变动对资本市场的影响探析[J].经济导刊, 2007,1:79-81.
[42]黄飞雪,赵昕,侯铁珊.从中国股价指数与GDP的相关系数看“股经背离”现象[J].大连理工大学学报(社会科学版),2007.9,25-30.
[43]王德劲.宏观经济变量与中国股市关系研究[D].西南财经大学.2002.4,9-15.
[44].
[45]张世英,樊智.协整理论与波动模型——金融时间序列分析及应用[M].北京,清华大学出版社,2004.
[46]何晓群.多元统计分析[M].北京,中国人民大学出版社,2004.
[47] [美]沃尔特·恩德斯著,杜江,谢志超译.应用计量经济学——时间序列分析(第二版)[M].北京,高等教育出版社,2006.
[48]王合玲.协整分析及其应用[D].新疆大学数学与系统科学学院,2005.
[49]杨琼.中国股票市场发展与经济增长关系的实证分析[D].首都对外经贸大学,2006.
[50]洪婷.中国上市公司业绩与股票价格的相关性研究[D].浙江大学经济学院,2007.
[2]
[3]杨成.会计信息对钢铁业股票价格影响作用的实证分析[D].武汉科技大学,2006,8-15.
[4]王华锋.我国证券市场股票定价时理论与实证研究[D].浙江工业大学.2000,6-8.
[5] Shiller.R.J.. Do stock prices move too much to be justified by subsequent changes in dividends? [J]. American Economic Review, 1981, 71: 421-436.
[6] Chen.N.F., Roll, R. and Ross.S.A.. Economic Forces and the Stock Market [J]. Journal of Business, 1986, 59: 383-403.
[7] Engel.R.F. and Granger.C.W.J.. Co-integration and error correction: Representation, estimation and testing [J]. Econometrica, 1987, 55:251-276.
[8] Fama E.F. Stock returns, expected returns and real activity [J]. Journal of Finance, 1990, 45: 1089-1108.
[9] Mukherjee.T.K. and Naka.A.. Dynamic relations between macroeconomic variables and the Japanese stock market: an application of a vector error-correction model [J]. The Journal of Financial Research, 1995, 18: 223-227.
[10] Harris and Richard.D.F.. Stock market and development are assessment [J]. European Economic Review.1997, 41: 139-146.
[11] Kwon.C.S. and Shan.T.S.. Cointegration and causality between macroeconomic variables and stock market returns [J]. Global Finance Journal, 1999, 10: 71-78.
[12] Maysami.R.C. and Koh.T.S.. A vector error correction model of the Singapore stock market [J].International Review of Economics and Finance.2000, 9: 79-96.
[13]谈儒勇.中国金融发展和经济增长关系的实证分析[J].经济研究,1999年第10期,53-61.
[14]王军波,邓述慧.中国利率政策和证券市场的关系的分析[J].系统工程理论与实践,1999第8期,18-22.
[15]唐齐鸣,李寿春.影响上海股市波动的因素分析[J].数量经济技术经济研究,2000年11期,62-65.
[16]李惠男,付晓梅.对股价指数变动影响因素的几点思考[J].学术交流,2001年第1期,82-85.
[17]刘金全,崔畅,邵欣炜.股票价格与实际利率之间长期协整与短期影响关系的实证检验[J].预测,2002年第5期,42-45.
[18]刘勇.我国股票市场和宏观经济变量关系的经验研究[J].财贸经济,2004年第4期,21-27.
[19]原素芬.基于季度数据的股票市场与宏观经济的研究[J].黑龙江对外经贸,2005年第10期,74-76.
[20]秦熠群.人民币汇率升值对资本市场影响分析[J].河南金融管理干部学院学报,2005年第12期,39-42.
[21]赵英杰.人民币汇率变动对股票市场的影响研究[D].北京工商大学,2006.6,11-17.
[22] Ball and Brown.R.P.. An empirical evaluation of accounting income numbers [J]. Journal of accounting research, 1968(Autumn): 159-178.
[23] Beaver.W.H., Clarke.R. and Wright.W.. The association between unsystematic security returns and the magnitude of earnings forecast error [J]. Journal of accounting research, 1979, 17:316-40.
[24] Beaver, Lambert and Ryan. The information content of security prices: a second look [J].Journal of accounting and economics, 1987(July):139-157.
[25] Bernard.V.L. and Thomas.J.K.. Evidence that stock prices do not fully react the implications of current earnings for future earnings. Journal of accounting and economics [J].1992, 13:305-340.
[26] Bernard.V.L. Stock price reaction to earnings announcements: a summary of recent anomalous evidence and possible explanations [M]. Thaler RH(Ed). Advances in Behavioral Finance, NewYork: Russell Sage Foundation, 1993.
[27] Joos.P. and Lang.M.. The effects of accounting diversity: evidence from the European Union. Journal of Accounting Research [J]. 1994, 32:141-168.
[28] Collins, Daniel.W., Edward.L.Maydew and Ira.S.Weiss. Changes in the value-relevance of earnings and book values over the past forty years [J]. Journal of accounting and economics, 1997, 24: 39-68.
[29] Roger.C, Graham and Raymond D.King. Accounting Practices and the Market Valuation of Accounting Numbers: Evidence from Indonesia, Korea, Malaysia, the Philippines, Taiwan and Thailand [J]. The International Journal of Accounting 2002, 35: 446- 470.
[30]李岳,王继平,归江.股价波动及相关因素的实证研究[J].数理统计与管理,1998年第6期,9-13.
[31]胡继之,于华.影响中国股市价格波动若干因素的实证分析[J].中国社会科学, 1999年第3期,68-87.
[32]穆良平,史代敏.股票市场波动与上市公司整体业绩的关联性[J].财经科学, 2002年第6期,78-80.
[33]黄应绘.沪市股票价格与上市公司业绩的关联性[J].统计与决策,2003年第6期,75-76.
[34]戴丽萍.财务指标与股票价格定位:一种实证研究[J].云南财贸学院学报,2004年第4期,66-70.
[35]李礼,洪源.我国上市公司业绩与股票价格之间关系的实证研究[J].经济问题探索,2005年第9期,113-115.
[36]晏艳阳,胡俊.股票价格与上市公司业绩的关联分析一对中国证券市场的研究[J].系统工程,2006年第8期,63-69.
[37]国琳.影响股票价格的财务因素分析及风险预警[D].天津大学,2006.1,14-34.
[38]张书云,夏秋.中国宏观经济变量平稳性分析[J].中央财经大学学报,2003年第2期,43-60.
[39]高霞.中国股票价格和宏观经济变量关系的实证分析[D].对外经贸大学,2005.4,4-11.
[40] Ram.in-Tiong. A Vector Error Correction Model of the Singapore Stock Market, International Review of Economics and Finance,2000,9(1): 79-96.
[41]文彬.人民币汇率变动对资本市场的影响探析[J].经济导刊, 2007,1:79-81.
[42]黄飞雪,赵昕,侯铁珊.从中国股价指数与GDP的相关系数看“股经背离”现象[J].大连理工大学学报(社会科学版),2007.9,25-30.
[43]王德劲.宏观经济变量与中国股市关系研究[D].西南财经大学.2002.4,9-15.
[44]
[45]张世英,樊智.协整理论与波动模型——金融时间序列分析及应用[M].北京,清华大学出版社,2004.
[46]何晓群.多元统计分析[M].北京,中国人民大学出版社,2004.
[47] [美]沃尔特·恩德斯著,杜江,谢志超译.应用计量经济学——时间序列分析(第二版)[M].北京,高等教育出版社,2006.
[48]王合玲.协整分析及其应用[D].新疆大学数学与系统科学学院,2005.
[49]杨琼.中国股票市场发展与经济增长关系的实证分析[D].首都对外经贸大学,2006.
[50]洪婷.中国上市公司业绩与股票价格的相关性研究[D].浙江大学经济学院,2007.