股市波动性特征及与宏观经济波动关系研究
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摘要
我国的证券市场自1990年上海证券交易所成立以来发展了近二十年,虽然期间经历了不少了困难,但仍取得了瞩目的成就。股票市场在国家经济发展中占有重要地位,同时与人们的生活也有紧密联系。因此对股票市场波动情况的研究尤为重要。以前国内对股市波动的研究大多停留在定性的层面上,本文试图运用模型从定量的层面对我国股市波动性进行研究。因为在现实中宏观经济的变化对股市有重要影响,所以本文在研究了股市波动性的特征的基础上重点研究了股市波动与宏观经济波动之间的关系。
由于信息对股票市场的影响的持续性,股票市场的波动经常呈现出集聚性的特征,即在一段时间内股市波动的大小有相似性。而ARCH类模型是常用来研究这种波动集聚性的模型。因此本文选用了ARCH类模型对上证综指和深证成指的波动性进行了研究,并发现我国股市确实存在这样的ARCH现象。
在此基础上,研究了上证综指和深证成指波动与宏观经济波动之间的关系。宏观经济变量选择了工业增加值,货币供应量,CPI,利率和进出口总额。数据选择了1999年1月到2009年1月的数据(来之CCER数据库)。首先运用ADF检验分析了各序列的平稳性,再用Johansen协整检验分析了序列间的协整关系。运用向量自回归模型,误差修正模型和Granger因果检验分析了沪深股指波动与宏观经济波动之间的关系,最后运用脉冲响应函数和方差分解研究了宏观经济波动对沪深股指波动的影响程度。
研究发现,上证综指和深证成指波动之间有紧密联系,代表经济增长的工业增加值波动对股市波动基本没有影响,而货币供应量,CPI,利率和进出口总额的波动对股市波动有显著影响。最后,根据研究结果,本文提出相关政策建议。
Since Shanghai stock market was established in 1990,the stock market in china has been developing more than 20 years. Although there were many difficulties in this period, we had achieved an astonishing achievement. The stock market is very important for our economy and has a close connection with civilian’s daily life. So the reseach on the fluctuation of the stock market is quite important. In China, it used to be very common for the researchers to use the qualitative method in study stock market fluctuation. In this paper, however, I use the quantitative method. Since macro-economy’change has the effect on the stock market, I study the relationship between the stock market fluctuation and the maro-economic fluctuation.
Because the information shoot can influence the stock market for a long time, stock market’s fluctuation shows the characteristics of cluster. The ARCH Model is the main tool to study this kind of phenomenon. So in this paper, I use ARCH Model to study the volatility of Shanghai and Shenzhen stock market and find ARCH phenomena exist in these two stock markets.
In this foundation, I study Shanghai and Shenzhen stock market index fluctuation and the relationship of macro-economic fluctuation. I choose industry value, the money supply, customer price index, the interest rate and the total of imports and exports fluctuation to represent Macro-economic fluctuation..And choose the period from January 1999 to January 2009. Data comes from CCER database. I ues Augmented Dickey-Fuller test, Johansen Cointegration test, Vector autoregression model, Vector errors correction model, Granger-causality test, Impulse response function and Variance decomposition model to research the relationship of stock market index fluctuation and macro-economic fluctuation.
In my research, Shaihai and Shenzhen stock market index fluctuation has close relations. The volatility of industry added value has no influence on the volatility of stock market index. But the volatility of the money supply, customer price index, the interest rate and the total imports and exports has important influence on the stock market index fluctuation. At the end, I give several policy suggestions.
由于信息对股票市场的影响的持续性,股票市场的波动经常呈现出集聚性的特征,即在一段时间内股市波动的大小有相似性。而ARCH类模型是常用来研究这种波动集聚性的模型。因此本文选用了ARCH类模型对上证综指和深证成指的波动性进行了研究,并发现我国股市确实存在这样的ARCH现象。
在此基础上,研究了上证综指和深证成指波动与宏观经济波动之间的关系。宏观经济变量选择了工业增加值,货币供应量,CPI,利率和进出口总额。数据选择了1999年1月到2009年1月的数据(来之CCER数据库)。首先运用ADF检验分析了各序列的平稳性,再用Johansen协整检验分析了序列间的协整关系。运用向量自回归模型,误差修正模型和Granger因果检验分析了沪深股指波动与宏观经济波动之间的关系,最后运用脉冲响应函数和方差分解研究了宏观经济波动对沪深股指波动的影响程度。
研究发现,上证综指和深证成指波动之间有紧密联系,代表经济增长的工业增加值波动对股市波动基本没有影响,而货币供应量,CPI,利率和进出口总额的波动对股市波动有显著影响。最后,根据研究结果,本文提出相关政策建议。
Since Shanghai stock market was established in 1990,the stock market in china has been developing more than 20 years. Although there were many difficulties in this period, we had achieved an astonishing achievement. The stock market is very important for our economy and has a close connection with civilian’s daily life. So the reseach on the fluctuation of the stock market is quite important. In China, it used to be very common for the researchers to use the qualitative method in study stock market fluctuation. In this paper, however, I use the quantitative method. Since macro-economy’change has the effect on the stock market, I study the relationship between the stock market fluctuation and the maro-economic fluctuation.
Because the information shoot can influence the stock market for a long time, stock market’s fluctuation shows the characteristics of cluster. The ARCH Model is the main tool to study this kind of phenomenon. So in this paper, I use ARCH Model to study the volatility of Shanghai and Shenzhen stock market and find ARCH phenomena exist in these two stock markets.
In this foundation, I study Shanghai and Shenzhen stock market index fluctuation and the relationship of macro-economic fluctuation. I choose industry value, the money supply, customer price index, the interest rate and the total of imports and exports fluctuation to represent Macro-economic fluctuation..And choose the period from January 1999 to January 2009. Data comes from CCER database. I ues Augmented Dickey-Fuller test, Johansen Cointegration test, Vector autoregression model, Vector errors correction model, Granger-causality test, Impulse response function and Variance decomposition model to research the relationship of stock market index fluctuation and macro-economic fluctuation.
In my research, Shaihai and Shenzhen stock market index fluctuation has close relations. The volatility of industry added value has no influence on the volatility of stock market index. But the volatility of the money supply, customer price index, the interest rate and the total imports and exports has important influence on the stock market index fluctuation. At the end, I give several policy suggestions.
引文
[1] Binswanger M. Stock market booms and real economic activity:is this time different?. International Review of Economics and Finance, 2000, (9):387-415
[2] Bahram Adrangi,Arjun Chatrath,Antonio Z.Sanvicente, Inflation,Output and Stock Price:Evidence from Brazil. Journal of Finance,2000,32(1):427-441
[3] Chunsheng Zhou. Stock market fluctuations and the term structuren. Financial Analysis Journal,1996,(4):72-78
[4] Cochrane. Production-based asset pricing and the link between stock returns and the economic fluctuations. Journal of Finance,1991,(5):209-237
[5] David Morelli. The relationship between conditional stock market volatility and conditional macroeconomic volatility:Empirical evidence based on UK data. International Review of Financial Analysis,2002,11(7):101-110
[6] Demirguc·Kunt,Levine. Stock Market Development and Financial Intermediaries : Stylized Facts[J ]. World Bank Economic Review,1996,(3):291-321
[7] David G·Mcmillan and Alan E·H·Speight.Daily Volatility Forecasts:Reassessing the Performance of GARCH Models. Journal Forecasting, 2004. 23(1): 449-460
[8] Engle R E,Granger CWJ.Cointegration and error correction: representation , estimation and testing[J].Econometics, 1987, 55(2):251-276.
[9] Fama E F. Stock returns ,real activity ,inflation ,and money[J ] .American Economic Review ,1981,(23):545-565
[10] G.William Schwert. Why stock market volatility change over time?[J]. Journal of Finance, 1989,(14):1115-1153
[11] Greg Tkacz and Carolyn Wilkins. Linear and Threshold Forecasts of Output and Infl ation Using Stock and Housing Prices. Journal Forecasting,2008.27(2):131-151:
[12] Harris , Richard D. F. Stock Markets and Development :A Reassessment. European Economic Review ,1997,(10):156-163
[13] Johansen S. Statistical ananlysis of cointegration vectors[J ] .Journal of Economic Dynamics and Control ,1988 , 12(1) :231-254.
[14] Jakob B·Madsen,FRU and EPRU. The Macroeconomics of Stock Prices in theMedium Term and in The Long Run. The Monchester School,2009, l77(2):127-152
[15] Kim Kenneth A. Price limits and stock market volatility[J]. Economics Letters, 2001,(5):131-136
[16] Kim Kenneth A, Piman Limpaphayom. Characteristics of Stock that Frequently Hit Price Limits:Empirical Evidence from Taiwan and Thailand[J]. Journal of Financial Markets, 2001,23(3):315-332
[17] Lee Charles M·C, Mark J·Ready, Paul J·Seguin. Volume,Volatility and New New York Stock Exchange Trading Halts[J]. Journal of Finance,1994,49(7): 183-214
[18] Liljeblom E.,Stenius M. Macroeconomic volatility and Stock market volatility:Empirical evidence on Finnish daya[J]. Applied Financial Economics,1997,7(5):419-426
[19] Massimo Caruso. Stock Market Fluctuation and Money Demand in Italy. Economic Notes by Banca Monte dei Paschi di Siena SpA,2006,35(2):1-47
[20]戴晓风,张清海.深圳股市收益率及其波动性与交易量关系的经验研究分析.中国金融学,2007,(12):168-179
[21]达摩达尔·N·古扎拉蒂.计量经济学基础.第4版.林少宫,费剑平等译.北京:中国人民大学出版社,2005,4
[22]封建强.股价行文理论与实证分析.第1版.北京:经济科学出版社,2004.6
[23]郭娅.上海股票市场波动性的实证研究:[硕士学位论文].浙江:浙江大学.2004
[24]高铁梅.计量经济分析方法与建模.第1版.北京:清华大学出版社,2006
[25]黄宜忠.沪市波动性与经济增长关系的实证研究.中南财经政法大学研究生学报,2007,(5):37-41
[26]金德环等.中国证券市场波动与控制研究.第1版.上海:上海财经大学出版社,2003,12
[27]蒋祥林.中国股票市场波动性影响因素研究:[博士学位论文].天津:天津大学, 2002
[28]克里斯·布鲁克斯.金融计量经济学导论.第1版.邹宏元译.成都:西南财经大学出版社,2005.6
[29]孔东民,郭磊.中国股市波动与经济波动的传递性研究.国民经济管理, 2007,29(6):24-29
[30]李强.股指波动与经济增长背离关系的实证分析.金融论坛,2003,(198):5-10
[31]刘炳茹.宏观经济调控与股市波动的相关性研究.产业与科技论坛, 2008,7(3):149,180
[32]刘家树.股市波动与经济增长关系的实证分析.安徽工业大学学报, 2008,25(2):42-44
[33] Ruey S·Tsay.金融时间序列分析.第1版.潘家柱译,北京:机械工业出版社,2006
[34]宋逢明,江婕.中国股票市场波动性特征的实证研究.金融研究,2003,(5):36-40
[35]史代敏.中国股票市场波动与效率研究.第1版.成都:西南财经大学出版社,2003
[36]许均华,李启亚.宏观政策对我国股市影响的实证研究.经济研究,2001,(9):23-28
[37]叶青,易丹辉.中国股票市场价格波动与经济波动.预测与分析,1999,(6):7-10,29
[38]晏艳阳,李治,许均平.中国股市波动与宏观经济因素波动间的协整关系研究.统计研究,2004,(4):45-48
[39]张书云.Granger因果检验用法探讨.数理统计与管理,2009,28(2):244-251
[40]邹辉文.股票的价格波动机理与投资才策略.第1版.北京:中国社会科学出版社, 2007, 12
[41]周爱民,徐辉,田翠杰等.金融计量学.第1版.北京:经济管理出版社,2006.1
[42]朱东辰,余津津.中国股市波动与经济增长关系的实证分析.经济科学,2003,(2):32-39
[2] Bahram Adrangi,Arjun Chatrath,Antonio Z.Sanvicente, Inflation,Output and Stock Price:Evidence from Brazil. Journal of Finance,2000,32(1):427-441
[3] Chunsheng Zhou. Stock market fluctuations and the term structuren. Financial Analysis Journal,1996,(4):72-78
[4] Cochrane. Production-based asset pricing and the link between stock returns and the economic fluctuations. Journal of Finance,1991,(5):209-237
[5] David Morelli. The relationship between conditional stock market volatility and conditional macroeconomic volatility:Empirical evidence based on UK data. International Review of Financial Analysis,2002,11(7):101-110
[6] Demirguc·Kunt,Levine. Stock Market Development and Financial Intermediaries : Stylized Facts[J ]. World Bank Economic Review,1996,(3):291-321
[7] David G·Mcmillan and Alan E·H·Speight.Daily Volatility Forecasts:Reassessing the Performance of GARCH Models. Journal Forecasting, 2004. 23(1): 449-460
[8] Engle R E,Granger CWJ.Cointegration and error correction: representation , estimation and testing[J].Econometics, 1987, 55(2):251-276.
[9] Fama E F. Stock returns ,real activity ,inflation ,and money[J ] .American Economic Review ,1981,(23):545-565
[10] G.William Schwert. Why stock market volatility change over time?[J]. Journal of Finance, 1989,(14):1115-1153
[11] Greg Tkacz and Carolyn Wilkins. Linear and Threshold Forecasts of Output and Infl ation Using Stock and Housing Prices. Journal Forecasting,2008.27(2):131-151:
[12] Harris , Richard D. F. Stock Markets and Development :A Reassessment. European Economic Review ,1997,(10):156-163
[13] Johansen S. Statistical ananlysis of cointegration vectors[J ] .Journal of Economic Dynamics and Control ,1988 , 12(1) :231-254.
[14] Jakob B·Madsen,FRU and EPRU. The Macroeconomics of Stock Prices in theMedium Term and in The Long Run. The Monchester School,2009, l77(2):127-152
[15] Kim Kenneth A. Price limits and stock market volatility[J]. Economics Letters, 2001,(5):131-136
[16] Kim Kenneth A, Piman Limpaphayom. Characteristics of Stock that Frequently Hit Price Limits:Empirical Evidence from Taiwan and Thailand[J]. Journal of Financial Markets, 2001,23(3):315-332
[17] Lee Charles M·C, Mark J·Ready, Paul J·Seguin. Volume,Volatility and New New York Stock Exchange Trading Halts[J]. Journal of Finance,1994,49(7): 183-214
[18] Liljeblom E.,Stenius M. Macroeconomic volatility and Stock market volatility:Empirical evidence on Finnish daya[J]. Applied Financial Economics,1997,7(5):419-426
[19] Massimo Caruso. Stock Market Fluctuation and Money Demand in Italy. Economic Notes by Banca Monte dei Paschi di Siena SpA,2006,35(2):1-47
[20]戴晓风,张清海.深圳股市收益率及其波动性与交易量关系的经验研究分析.中国金融学,2007,(12):168-179
[21]达摩达尔·N·古扎拉蒂.计量经济学基础.第4版.林少宫,费剑平等译.北京:中国人民大学出版社,2005,4
[22]封建强.股价行文理论与实证分析.第1版.北京:经济科学出版社,2004.6
[23]郭娅.上海股票市场波动性的实证研究:[硕士学位论文].浙江:浙江大学.2004
[24]高铁梅.计量经济分析方法与建模.第1版.北京:清华大学出版社,2006
[25]黄宜忠.沪市波动性与经济增长关系的实证研究.中南财经政法大学研究生学报,2007,(5):37-41
[26]金德环等.中国证券市场波动与控制研究.第1版.上海:上海财经大学出版社,2003,12
[27]蒋祥林.中国股票市场波动性影响因素研究:[博士学位论文].天津:天津大学, 2002
[28]克里斯·布鲁克斯.金融计量经济学导论.第1版.邹宏元译.成都:西南财经大学出版社,2005.6
[29]孔东民,郭磊.中国股市波动与经济波动的传递性研究.国民经济管理, 2007,29(6):24-29
[30]李强.股指波动与经济增长背离关系的实证分析.金融论坛,2003,(198):5-10
[31]刘炳茹.宏观经济调控与股市波动的相关性研究.产业与科技论坛, 2008,7(3):149,180
[32]刘家树.股市波动与经济增长关系的实证分析.安徽工业大学学报, 2008,25(2):42-44
[33] Ruey S·Tsay.金融时间序列分析.第1版.潘家柱译,北京:机械工业出版社,2006
[34]宋逢明,江婕.中国股票市场波动性特征的实证研究.金融研究,2003,(5):36-40
[35]史代敏.中国股票市场波动与效率研究.第1版.成都:西南财经大学出版社,2003
[36]许均华,李启亚.宏观政策对我国股市影响的实证研究.经济研究,2001,(9):23-28
[37]叶青,易丹辉.中国股票市场价格波动与经济波动.预测与分析,1999,(6):7-10,29
[38]晏艳阳,李治,许均平.中国股市波动与宏观经济因素波动间的协整关系研究.统计研究,2004,(4):45-48
[39]张书云.Granger因果检验用法探讨.数理统计与管理,2009,28(2):244-251
[40]邹辉文.股票的价格波动机理与投资才策略.第1版.北京:中国社会科学出版社, 2007, 12
[41]周爱民,徐辉,田翠杰等.金融计量学.第1版.北京:经济管理出版社,2006.1
[42]朱东辰,余津津.中国股市波动与经济增长关系的实证分析.经济科学,2003,(2):32-39