| 股票价格指数与宏观经济变量关系的实证研究 |
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| 引用本文： | 刘玲,谢赤,曾志坚.股票价格指数与宏观经济变量关系的实证研究[J].湖南师范大学社会科学学报,2006,35(5):82-86,104. |
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| 作者姓名： | 刘玲 谢赤 曾志坚 |
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| 作者单位： | 湖南大学,工商管理学院,湖南,长沙,410082 |
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| 基金项目： | 国家社会科学基金;高等学校博士学科点专项科研项目;高等学校优秀青年教师教学科研奖励计划 |
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| 摘 要： | 从理论和实证两方面分析股票价格指数与宏观经济之间的关系,协整检验结果表明,股票价格指数与宏观经济变量之间存在长期均衡关系。具体而言,股票价格指数与企业景气指标、工业增加值之间呈正相关关系,而与利率、货币供给之间是一种负相关关系,与通货膨胀率之间的关系则不确定。
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| 关 键 词： | 股票价格指数 宏观经济变量 协整检验 误差修正模型 |
| 文章编号： | 1000-2529（2006）05-0082-05 |
| 收稿时间： | 2006-03-12 |
| 修稿时间： | 2006年3月12日 |
Empirical Study on Correlation Between Stock Market Index and Macroeconomic Variables |
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| LIU Ling,XIE Chi,ZENG Zhi-jian.Empirical Study on Correlation Between Stock Market Index and Macroeconomic Variables[J].Journal of Social Science of Hunan Normal University,2006,35(5):82-86,104. |
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| Authors: | LIU Ling XIE Chi ZENG Zhi-jian |
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| Institution: | College of Business Administration, Hunan University, Changsha, Hunan 410082, China |
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| Abstract: | This paper analyzes the correlation between stock market index and macroeconomic variables from both theoretical and empirical perspectives.The cointegration method is employed in this paper to model the long run equilibrium relationship between stock market index and various macroeconomic variables.Results from empirical analysis indicate the positive correlation between stock market index and enterprise prosperity index as well as industry value added.The negative correlation between stock market index and interest rate as well as monetary supply is also identified.However,empirical results for relationship between stock market index and inflation rate is mixed and remains the open question. |
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| Keywords: | stock market index macroeconomic variable cointegration error correction model |
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