【摘要】：股票市場價格波動迅速，價格波動反映的是市場情緒的變化，更是市場對未來預期的變化。因此，在西方成熟市場中，股票市場常被視為宏觀經濟的晴雨表。 為了更好的理解我國股票市場，理清市場變動與宏觀經濟間紛繁復雜的關系，本文以市場常用的市盈率和市凈率指標作為切入點，分析了滬深300指數(shù)成分股的整體市盈率和整體市凈率指標對于未來宏觀經濟指標的預測能力，并且比較了二者的預測能力強弱。 通過理論分析和公式推導，本文首先總結并闡述了市盈率和市凈率指標能夠預測未來信息的理論基礎，并且解釋了各指標包含的預期信息。本文還選取了廣義貨幣供應量增速、宏觀經濟領先指數(shù)、全社會用電量增速、人民幣兌美元NDF匯率和一年期國債到期收益率這五個宏觀經濟指標，從多角度刻畫宏觀經濟形勢。利用各指標自2000年以來的月度時間序列數(shù)據(jù)，分別與整體市盈率和市凈率進行向量自回歸實證分析。實證結果表明，，市盈率和市凈率指標確實能夠預測宏觀經濟形勢，比較而言，市凈率指標對于宏觀經濟的預測能力更強。基于此結論，我們建議投資者加強對于市凈率指標的研究和應用。
[Abstract]:The stock market price fluctuates rapidly, the price fluctuation reflects the change of the market sentiment, but also the change of the market expectation for the future. Therefore, in the western mature market, the stock market is often regarded as the macroeconomic barometer. In order to better understand the stock market in China and to clarify the complex relationship between market changes and macroeconomic, this paper takes the price-to-earnings ratio and price-to-book ratio as the starting point. This paper analyzes the forecasting ability of the whole price-to-earnings ratio and the whole price-to-book ratio index of the Shanghai and Shenzhen 300 index for the future macroeconomic index, and compares the prediction ability of the two indexes. Through theoretical analysis and formula derivation, this paper first summarizes and expounds the theoretical basis that the index of price-to-earnings ratio and price-to-book ratio can predict the future information, and explains the expected information contained in each index. This paper also selects five macro-economic indicators, namely, the generalized money supply growth rate, the leading macroeconomic index, the total social electricity consumption growth rate, the RMB / dollar NDF exchange rate and the maturity yield of one-year treasury bonds, to describe the macroeconomic situation from many angles. Using the monthly time series data of each index since 2000, the empirical analysis of vector autoregressive analysis is carried out with the overall price-to-earnings ratio and price-to-book ratio respectively. The empirical results show that the index of price-to-book ratio and price-to-book ratio can really predict the macroeconomic situation, compared with the index of price-to-book ratio, it is more powerful to predict the macroeconomic situation. Based on this conclusion, we suggest that investors strengthen the research and application of price-to-book ratio index.
【學位授予單位】：上海交通大學
【學位級別】：碩士
【學位授予年份】：2013
【分類號】：F832.51;F224

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本文編號：2370580