【作者】 向少儒；

【导师】 田新时；

【作者基本信息】 华中科技大学 ， 金融学， 2009， 硕士

【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。更多还原

【Abstract】 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.更多还原