导　　师： 田秋生

学科专业： 020204

授予学位： 硕士

作　　者： ;

机构地区： 华南理工大学

摘　　要： 波动性是股票市场最本质的特征，股市波动的原因是复杂的，本文将影响股市价格变动的因素主要可分为三类：（1）宏观经济因素：包括经济增速、固定资产投资、消费品零售总额、进出口、货币供给、通货膨胀等（2）金融政策性因素，如股票交易规则变更、存款准备金率调整、基准利率的调整、印花税调整、领导人重要言论等（3）不可预期因素，包括自然灾害、战争、金融危机等“黑天鹅”事件。本文将研究宏观经济因素与股市波动之间的关联性，尝试从新的角度研究宏观经济对股市波动性的影响。 首先从消费、投资、出口三方面选取宏观经济指标，定性研究了它们与股指走势的背离关系，再通过工业增加值增速与股指波动率的回归发现，两者的相关关系也十分弱，说明在现阶段中国股市是国民经济“晴雨表”的说法不成立。 然后从动态和静态两个角度分析宏观经济与股市波动的关系。站在动态角度，通过主成分分析从指标体系中提取出两个主因子，分别解释为宏观经济因子和通货膨胀预期，它们能概括所选取指标信息的87/%，再利用VAR模型研究两个因子与三个维度的股市波动率之间的动态交互关系。通过比较三个VAR模型发现：两因子与股指标准差之间的VAR/(3/)模型的结果最优，这三个变量及其滞后项可以解释股指波动58/%的变化，并且三个变量存在交互影响关系。站在静态角度，从股利折现模型出发，研究上证A股指数与公司盈利、无风险利率、股市风险溢价等三个基本面因素的关系，发现它们存在较弱的长期的均衡关系，三个指标也只能解释股指波动的37/%。 最后本文得出结论，中国股市仍然是政策市，它与宏观经济的关联性不高。股市受自身波动的影响最显著，其次是通货膨胀预期；上证A股指数与宏观经济基本面因素存在弱式的长期均衡关系。对于中国股市波动的特征，本文针对性地提出了破解政策市的建议。 Volatility of stock market is the most essential characteristics of stock marketfluctuation, the reason is complex, the main factors that affect stock price can bedivided into three categories:/(1/) macroeconomic factors: including economic growth,fixed assets investment, total retail sales of consumer goods, import and export,money supply, inflation /(2/) financial policy factors, such as stock trading ruleschanges, the deposit reserve rate adjustment, the benchmark interest rate adjustment,the adjustment of stamp duty, leader important speech,/(3/) unexpected factors,including natural disasters, war, the financial crisis and the 'black swan' event. Thisarticle will study the macroeconomic factors and the relationship between thefluctuation of the stock market, then try to study the relationship betweenmacroscopical economy and the stock market volatility from a new point of view. First from the consumption, investment, exit three aspects of macro economyindex, qualitative study of their departure from the relationship between the stockindex trend, and then through the industrial added value growth rate and stock indexvolatility return discovery, their relationship is very weak, that at the present stage ofChina's stock market is the national economy' barometer' is not established. Then from two angles of dynamic and static analysis of macro economy andstock market fluctuation relationship. Standing in the dynamic angle, throughprincipal components factor analysis from the index system extracted two mainfactors, were interpreted as macro economic factor and inflation expectations, theywere able to generalize87/%of the parameters’s information, then utilize VAR modelstudy of two factors and three dimensions of the stock market volatility betweendynamic interaction. By comparing the three VAR models found: two factors andindex standard deviation between VAR /(3/) the results of optimal model, the threevariables and its lag could explain the stock index fluctuation58/%changes, and thethree variables in the presence of the interaction effect between. Standing in the staticangle, from the dividend discount model, study of Shanghai A stock index andcorporate profitability, risk free interest rate, market risk premium of three fundamental factors, found that there is a long-term equilibrium relationship betweenthem, but the three indicators can only explain the fluctuation of stock index in37/%. Finally, this paper draws a conclusion that Chinese stock market is still themarket of policy, the correlation between volatility of stock market and economicrelevance is not high. The stock market is affacted by the fluctuations itself which isthe most significant, followed by inflation expectations; Shanghai A stock index andmacroeconomic fundamentals factors exist long-run equilibrium relationship, namelylong-term equilibrium price//earnings ratio of existence. In view of the characteristicsof the fluctuation in Chinese stock market, and puts forward the recommendations ofsolving the market of policy.

关 键 词： 股市波动 宏观经济 金融政策 模型

分 类 号： [F832.51 F123 F224]

领　　域： [经济管理] [经济管理] [经济管理]