中国股市收益率与经济净增长的关联性分析
首发时间:2009-07-07
摘要:股市发展与经济增长之间的关系一直是经济金融界重点研究的课题。本文采用2001年1 月至2008 年12 月间的季度时间序列数据,以剔除CPI涨幅后的GDP增长率作为真实经济的代理变量,以股市收益率作为股票市场发展的代理变量,探讨股票市场与真实经济的关系。由时间序列的单位根检验、变量之间的协整检验和格兰杰因果关系检验等三个过程组成一个完整的格兰杰因果检验。实证结果表明中国股票市场与经济增长之间只存在着由股票市场发展到经济增长的单向因果关系,中国股市和经济存在背离现象。
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Analysis of the Relevance between Chinese Stock Market Rate of Return and the Net Increase of Economy
Abstract:The relationship between stock market development and economic growth has been the focus of economic and financial study. In this paper, using the quarterly time-series data from January 2001 to December 2008、 removing the increase of CPI from GDP growth rate as the true agent of economic variable and taking the stock market rate of return as a proxy variable of stock market development to explore the relationship between the stock market and real economy. The time series unit root test、cointegration test between the variables and Granger causality test make up a complete process of the Granger causality test. Empirical results show that China\
Keywords: Stock Market Economic Growth Causality Test
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