| 上证指数与宏观经济指标协整关系的实证分析 |
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| 引用本文： | 尚鹏岳,李胜宏.上证指数与宏观经济指标协整关系的实证分析[J].预测,2002,21(4):52-55. |
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| 作者姓名： | 尚鹏岳 李胜宏 |
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| 作者单位： | 浙江大学数学系金融系统工程研究室，浙江 杭州 310027 |
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| 摘 要： | 本文研究了上证指数与宏观经济指标之间的协整关系，并在多因素协整分析的基础，利用误差修正模型建立了二者之间的预测模型。其结果表明1995年1月到2000年9月这段时间内，上证指数对长期利率、短期利率以及货币供应量的变化是敏感的，但同国民生产总值、固定资产投资、全国物价指数的变化之间没有长期均衡的关系，这对于我国证券市场的分析具有一些指导意义。
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| 关 键 词： | 上证指数 宏观经济指标 协整关系 回归模型 误差修正模型 |
| 文章编号： | 1003-5192(2002)04-0052-04 |
An Empirical Analysis on the Cointegration between Macroeconomic Variables and Index of Shanghai Stock Market |
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| SHANG Peng-yue,LI Sheng-hong.An Empirical Analysis on the Cointegration between Macroeconomic Variables and Index of Shanghai Stock Market[J].Forecasting,2002,21(4):52-55. |
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| Authors: | SHANG Peng-yue LI Sheng-hong |
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| Abstract: | In this paper, we study the cointegration between macroeconomic variables and the index of Shanghai stock market. On the base of multivariate-cointegration analysis, we stimulate the error correction model between associate variables from 1995.1 to 2000.9. The result shows that the index of Shanghai stock market is interest and money supply sensitive, but don't cointegrate with gross domestic product, fixed assets investment and price index. This finding has some guding significance on the analysis of domestic stock market. |
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| Keywords: | Co-integration regression model error correction model index of Shanghai stock market macroeconomic variables |
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