本文關(guān)鍵詞：中國宏觀經(jīng)濟(jì)周期與股市周期關(guān)聯(lián)性分析，，由筆耕文化傳播整理發(fā)布。

        波動性一直是金融資產(chǎn)的定價(jià)核心以及許多金融領(lǐng)域研究的重點(diǎn)。如果股票市場具有良好的波動性,并遵循一定的周期規(guī)律,那就表明股票市場可能趨于穩(wěn)定并逐漸發(fā)展完善、形成一個(gè)獨(dú)特的體系。我們可以從這個(gè)體系存在的周期波動去推導(dǎo)股市以后的發(fā)展方向,投資者也可以根據(jù)股市的周期性波動制定出相應(yīng)的投資策略。從理論上講,經(jīng)濟(jì)周期決定股市周期,經(jīng)濟(jì)周期波動與股票市場周期波動的波長應(yīng)該大致相等,二者的運(yùn)行應(yīng)該具有協(xié)同關(guān)系。但是由于中國的市場經(jīng)濟(jì)還不成熟,股市發(fā)展還處于起步階段,這可能使得股市和經(jīng)濟(jì)都不能很好的運(yùn)行,股市周期與經(jīng)濟(jì)周期就可能出現(xiàn)不同步甚至背離的現(xiàn)象。國外很多學(xué)者通過實(shí)證研究表明,在美國、英國、德國、日本等擁有成熟股票市場的發(fā)達(dá)國家,股價(jià)指數(shù)與宏觀經(jīng)濟(jì)核心指標(biāo)之間是具有較高相關(guān)程度的。而在中國等發(fā)展中國家,由于金融市場發(fā)展不健全,監(jiān)管機(jī)制不完善,上市公司的管理水平差及投資者整體素質(zhì)不高等因素,股市周期與經(jīng)濟(jì)周期不同步甚至背離的現(xiàn)象經(jīng)常發(fā)生。對經(jīng)濟(jì)周期和股市周期存在的關(guān)聯(lián)性分析可以幫助我們準(zhǔn)確把握經(jīng)濟(jì)和股市運(yùn)行的規(guī)律,也為政府制定宏觀調(diào)控政策和股市發(fā)展政策提供了理論基礎(chǔ)。本文從兩者的理論介紹入手,通過回顧宏觀經(jīng)濟(jì)周期與股市周期的理論文獻(xiàn),對兩者的定義及運(yùn)行情況進(jìn)行了詳細(xì)的闡述,也為后文的進(jìn)一步深入分析打下理論基礎(chǔ)。然后對股市周期與經(jīng)濟(jì)周期從1990年股市成立之初到2011年底這段時(shí)間的運(yùn)行狀況進(jìn)行比較,通過比較兩者在這個(gè)時(shí)間段的增長情況發(fā)現(xiàn),股市的波動與經(jīng)濟(jì)的發(fā)展通常情況下都是不同步甚至背離的,股市并沒有體現(xiàn)出宏觀經(jīng)濟(jì)“晴雨表”的作用。接著又對影響股市波動的相關(guān)宏觀經(jīng)濟(jì)因素進(jìn)行分析,主要是根據(jù)上證指數(shù)和代表宏觀經(jīng)濟(jì)周期的相關(guān)指標(biāo)：宏觀經(jīng)濟(jì)景氣指數(shù)、消費(fèi)者信心指數(shù)、CPI、企業(yè)商品交易價(jià)格指數(shù)等進(jìn)行了回歸分析,分析得出宏觀經(jīng)濟(jì)影響股市的因素比較復(fù)雜,宏觀經(jīng)濟(jì)景氣指數(shù)、消費(fèi)者信心指數(shù)、CPI可能會起正相關(guān)作用,企業(yè)商品價(jià)格指數(shù)卻可能起負(fù)相關(guān)作用。這在一定程度上說明了宏觀經(jīng)濟(jì)對于股市的傳導(dǎo)機(jī)制不是那么簡單。之后通過運(yùn)用VAR模型對上證指數(shù)增長率與GDP增長率進(jìn)行實(shí)證分析,格蘭杰因果檢驗(yàn)結(jié)果顯示宏觀經(jīng)濟(jì)增長與上證指數(shù)增長之間不存在明顯的因果關(guān)系,表明中國的宏觀經(jīng)濟(jì)周期與股市周期的關(guān)聯(lián)度不高,缺少顯著的協(xié)同關(guān)系。脈沖分析也得出GDP增長率的沖擊對上證指數(shù)的增長率有反向作用,這種作用在2個(gè)季度后會達(dá)到最大值,在10個(gè)季度后趨向平衡；上證指數(shù)增長率的沖擊對GDP增長率有正向作用,這種作用在3個(gè)季度后達(dá)到最大值,在10個(gè)季度后影響越來越小直至趨向于平衡。脈沖分析結(jié)果表明GDP的增長變化并沒有給上證指數(shù)帶來正向沖擊,經(jīng)濟(jì)周期對股市周期的決定作用不強(qiáng),有時(shí)甚至?xí)鹣喾吹淖饔谩Ｍㄟ^本文的比較分析和實(shí)證分析,表明中國宏觀經(jīng)濟(jì)周期與股市周期之間存在長期的均衡關(guān)系,但是短期內(nèi)無明顯的因果關(guān)系。從理論上講,股票市場很重要的職能之一就是促進(jìn)經(jīng)濟(jì)的細(xì)胞——企業(yè)發(fā)展壯大,但是實(shí)證分析卻表明兩者之間缺少明顯的因果關(guān)系,兩者不能顯著的互相反應(yīng)和影響。中國宏觀經(jīng)濟(jì)的發(fā)展經(jīng)歷了幾十年的時(shí)間,市場機(jī)制逐步完善,法律法規(guī)逐漸健全,宏觀經(jīng)濟(jì)的發(fā)展也呈現(xiàn)出不斷成熟的態(tài)勢,宏觀經(jīng)濟(jì)周期也由波長短,振幅大向波長增長,振幅縮小的方向發(fā)展。股市由于建立時(shí)間太短,各方面發(fā)展還不到位,股市不能完全體現(xiàn)出經(jīng)濟(jì)“晴雨表”的作用,股市周期也不能完全反應(yīng)出經(jīng)濟(jì)周期的變化,有時(shí)甚至?xí)霈F(xiàn)背離的情況,而隨著股市股權(quán)分置改革的進(jìn)行,股市開始正常反應(yīng)經(jīng)濟(jì)的運(yùn)行情況。但是在股市發(fā)展的大部分時(shí)間里,中國股市周期與經(jīng)濟(jì)周期的運(yùn)行節(jié)奏是不完全一致的,這與股市的經(jīng)濟(jì)“風(fēng)向標(biāo)”作用不完全相符。對于產(chǎn)生這些結(jié)果的原因,筆者認(rèn)為,中國的經(jīng)濟(jì)是政府調(diào)控供求平衡的結(jié)果,政府操控的痕跡明顯,市場經(jīng)濟(jì)自我調(diào)節(jié)功能弱化,使得中國的經(jīng)濟(jì)周期很難正常運(yùn)作。而股市由于正處于初級階段,存在的問題更多,比如定價(jià)機(jī)制不合理、政府過度調(diào)控、市場監(jiān)管體系不健全、上市公司治理不力、股市中介機(jī)構(gòu)發(fā)展不規(guī)范、投資者專業(yè)素質(zhì)不高等,這就決定了股市的波動史容易受到干擾因素的影響,股市周期更加沒有規(guī)律。針對股市和經(jīng)濟(jì)運(yùn)行可能存在的問題,筆者提出了一些個(gè)人的建議：在宏觀經(jīng)濟(jì)運(yùn)行上,一是加快生產(chǎn)要素市場化改革進(jìn)程。大力發(fā)展資本、土地、勞動力市場,規(guī)范市場秩序。同時(shí)注重完善市場價(jià)格形成機(jī)制,促進(jìn)經(jīng)濟(jì)的可持續(xù)發(fā)展。二是深化改革并健全宏觀調(diào)控體系。加快推進(jìn)投資、金融、財(cái)政體制改革,積極探索發(fā)展規(guī)劃和財(cái)政政策、貨幣政策相互協(xié)調(diào)、緊密配合的機(jī)制,做到既分工明確,又總體配套、綜合協(xié)調(diào),從體制上形成長效治本之策,增強(qiáng)國家宏觀調(diào)控的能力和有效性。三是加大力度進(jìn)行經(jīng)濟(jì)體制和政治制度的改革,加快轉(zhuǎn)變政府職能,提高經(jīng)濟(jì)發(fā)展的質(zhì)量,建立比較完善的社會公平機(jī)制,提高社會保障體系的覆蓋面積,使國民的消費(fèi)少些后顧之憂,擴(kuò)大內(nèi)需；在股市發(fā)展上,第一,政府應(yīng)該積極對股市進(jìn)行改革,建立長效的調(diào)控股市政策。通過推出積極有效的股市政策,擴(kuò)大直接融資,制定法律法規(guī)打擊市場中不合理的違法行為,使得股市正常有序的發(fā)展。第二,開展監(jiān)管者教育,轉(zhuǎn)變監(jiān)管者工作作風(fēng),培養(yǎng)服務(wù)意識,建立虛心聽取各方意見、及時(shí)與投資人溝通的長效機(jī)制。要打破監(jiān)管者的”審批情結(jié)”,將IPO上市企業(yè)的實(shí)質(zhì)審核向程序化審核和形式性審核轉(zhuǎn)變。將主要精力放在監(jiān)管市場各類主體、交易所和中介機(jī)構(gòu)上,沿著監(jiān)審分離的方向推進(jìn)證券監(jiān)管體制改革。第三,要改變現(xiàn)階段發(fā)審委有權(quán)、保薦人有錢、投資人有險(xiǎn)的不合理的發(fā)行制度。取消發(fā)審委,逐步向交易所、保薦人、承銷商三位一體、責(zé)權(quán)利一致的發(fā)審體制轉(zhuǎn)換,尤其要對保薦人實(shí)行分級管理,落實(shí)保薦人責(zé)任,發(fā)現(xiàn)問題立即給予嚴(yán)懲。第四,嚴(yán)格監(jiān)控上市公司的運(yùn)行情況和資產(chǎn)質(zhì)量。建立嚴(yán)格的有進(jìn)有出的上市和退市制度,優(yōu)勝劣汰,使符合市場發(fā)展規(guī)律的好企業(yè)留下來,競爭力不夠的企業(yè)退出去,保證上市公司的質(zhì)量。第五,繼續(xù)完善股票市場中介機(jī)構(gòu)的發(fā)展。制定更具現(xiàn)實(shí)意義更有指導(dǎo)性的法律法規(guī)來規(guī)范中介機(jī)構(gòu)的健康長久發(fā)展,讓中介機(jī)構(gòu)能更好的促進(jìn)股市的發(fā)展。第六,推行以股東為主體的股權(quán)文化和以股權(quán)為代表的股市新文化。一方面正視股民對中國資本市場的巨大貢獻(xiàn),另一方面對他們的正當(dāng)權(quán)益要給予充分的保護(hù)。在此基礎(chǔ)上,引導(dǎo)股民樹立正確的投資觀。對于中國宏觀經(jīng)濟(jì)周期與股市周期的關(guān)聯(lián)性研究,國外進(jìn)行過很多研究,而國內(nèi)的研究并不多,國內(nèi)的研究過多的集中在單獨(dú)的經(jīng)濟(jì)周期和股市周期的分析上,很少研究西者關(guān)系的。而本文區(qū)別于其他研究的創(chuàng)新之處在于第一,本文選取的宏觀經(jīng)濟(jì)數(shù)據(jù)和股市數(shù)據(jù)是我們現(xiàn)階段可觀測到的跨年度最長的數(shù)據(jù),以往的分析只停留在某個(gè)特定的時(shí)間段或者短周期內(nèi)。周期是個(gè)長時(shí)間概念,詳盡全面的數(shù)據(jù)能使定量分析更有說服力,能更好的總結(jié)出結(jié)論。第二,國內(nèi)分析宏觀經(jīng)濟(jì)周期和股市周期關(guān)系的文章很少,在這很少的文獻(xiàn)中,分析研究大多采用的是文字說明、定性分析,而本文加入了數(shù)據(jù)的定量分析并對中國宏觀經(jīng)濟(jì)周期和股市周期的關(guān)聯(lián)性進(jìn)行計(jì)量統(tǒng)計(jì)以期得到更使人信服的結(jié)論。第三,本文選取宏觀經(jīng)濟(jì)周期的指數(shù)指標(biāo)來衡量宏觀經(jīng)濟(jì)周期與股市周期的關(guān)聯(lián)性,宏觀經(jīng)濟(jì)周期的指數(shù)指標(biāo)區(qū)別于傳統(tǒng)的出口、投資、消費(fèi)等指標(biāo),更具綜合性和代表性,分析得出的結(jié)論更為貼切。

    Volatility has been the core of the pricing of financial assets as well as other fields within finance. If the stock market volatility, follows certain rules, so that the stock market may be stable and gradually developed a unique system. We can see from the fluctuations in the cycle of the system to derive the future direction of development in the stock market. In theory, the business cycle, determines the stock market cycle, the wavelength of the fluctuations of economic cycles and the stock market should be roughly equal, the two should have a relationship. However, due to China’s market economy is not yet mature for the development of the stock market is still in its infancy, which could make the stock market and economy are fail to well run, the stock market cycle and economic cycle may occur out of sync.Many foreign scholars, through empirical studies show that in the United States, Britain, Germany, Japan and other developed countries with mature stock market, stock index and macroeconomic core indicators are associated with a higher significantly. In China and other developing countries, due to the poor development of financial markets, the regulatory mechanisms are inadequate, the management of listed companies and investors, the overall quality of higher factors, the stock market cycles and economic cycles are not synchronized. The economic cycle and stock market cycle, the correlation analysis can help us to accurately grasp the laws governing the operation of the economy and stock market, and also provides a theoretical basis for the government macro-control policy and stock market development policies. Start from both theoretical introduction, both the definition and the operation carried out a detailed theoretical literature review of the macroeconomic cycle and stock market cycle, but also to lay a theoretical foundation for further in-depth analysis. Then run on the stock market cycle and economic cycle from the beginning of the stock market was established in1990to the end of2011, compare the two found in the growth rate of this time period, the volatility of the stock market and economic development usually are out of sync even departure from the stock market does not reflect the role of macroeconomic "barometer".By investigating the Shanghai Composite Index growth rate and GDP growth rate empirically with the VAR model, the Granger causality test shows that there does not exist a robust relationship between the two factors which indicates the business cycle of China and stock market cycle share few convergences. Regarding the causes behind the phenomenon, in my opinion, the economy operation in China is always influenced and even distorted heavily by government regulation policies, as a result, the self-regulation function of market-oriented economy weakens which makes business cycle of China barely to function in normal ways. In addition, the Chinese stock market is still in its infancy and experiences a number of problems such as inappropriate pricing mechanism, excessive government regulation, incomplete market regulation framework, poor corporate governance, underdeveloped stock medium organizations and irrational investors etc. All of these factors mentioned above collectively contribute to the fluctuation of Chinese stock market which is more fragile and disorganized compared to its counterparts. This dissertation is an attempt to further investigate business cycle and stock market cycle in the hope of obtaining something useful.

        中國宏觀經(jīng)濟(jì)周期與股市周期關(guān)聯(lián)性分析

摘要4-8Abstract8-91. 緒論12-22    1.1 問題的提出和選題的意義12-14    1.2 論文的研究方法、研究思路及創(chuàng)新之處14    1.3 論文的結(jié)構(gòu)安排14-15    1.4 文獻(xiàn)綜述15-22        1.4.1 國外文獻(xiàn)綜述15-19        1.4.2 國內(nèi)文獻(xiàn)綜述19-20        1.4.3 國內(nèi)外研究存在的不足20-222. 中國宏觀經(jīng)濟(jì)周期與股市周期的理論探討22-32    2.1 中國宏觀經(jīng)濟(jì)周期與股市周期理論介紹22-28        2.1.1 經(jīng)濟(jì)周期的定義22-23        2.1.2 股市周期的定義23-25        2.1.3 我國宏觀經(jīng)濟(jì)周期的運(yùn)行及劃分25-26        2.1.4 股市周期的運(yùn)行及劃分26-28    2.2 宏觀經(jīng)濟(jì)周期決定股市周期28-30    2.3 股市周期對中國宏觀經(jīng)濟(jì)周期的作用30-323. 中國股市周期與宏觀經(jīng)濟(jì)周期的關(guān)聯(lián)性分析32-55    3.1 中國股市周期與宏觀經(jīng)濟(jì)周期的比較32-35    3.2 影響股市波動的宏觀經(jīng)濟(jì)因素分析35-38        3.2.1 指標(biāo)選擇和數(shù)據(jù)解釋35-36        3.2.2 建立多元線性回歸模型36-37        3.2.3 宏觀經(jīng)濟(jì)因素影響股市的原理分析37-38        3.2.4 回歸分析結(jié)論38    3.3 基于VAR模型分析中國宏觀經(jīng)濟(jì)周期與股市周期關(guān)聯(lián)性38-47        3.3.1 指標(biāo)選擇和數(shù)據(jù)解釋39-41        3.3.2 模型介紹及研究思路41-43        3.3.3 單位根檢驗(yàn)43-44        3.3.4 格蘭杰因果檢驗(yàn)44-45        3.3.5 脈沖響應(yīng)分析45-46        3.3.6 實(shí)證分析結(jié)論46-47    3.4 中國宏觀經(jīng)濟(jì)周期與股市周期不同的成因分析47-55        3.4.1 中國宏觀經(jīng)濟(jì)周期運(yùn)行存在的主要問題47-48        3.4.2 中國股市存在的主要問題48-554. 結(jié)論及政策建議55-59    4.1 結(jié)論及建議55-57    4.2 本文的局限性57    4.3 未來的研究方向57-59參考文獻(xiàn)59-63附錄63-69后記69-70致謝70-71科研成果71

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