中国股市波动与经济波动的传递性研究

基于1994~2004年度的月份数据,对股市波动与经济波动的关系进行研究。我们采用Schwert(1989)的12阶自回归模型对各经济变量序列的波动性进行估计,并进一步通过Granger因果检验和冲击反应函数考察各波动序列之间的内在关系。检验结果表明:在Granger因果检定中,股市波动并未受到总体经济波动的影响,说明股市在一定程度上反映了当前的经济信息;股市波动与经济波动的冲击反应函数则显示,股市波动与经济波动之间的影响大体在6~8个月以内传递完毕。

Empirical Test on Economic Fluctuation of Chinese Stock Market and Economy

This paper analyzes the relation between economic fluctuation of Chinese stock market and fluctuation of the economy.Basing on the monthly data of 1994-2004,the authors use the Auto-Regressive Model of Schwert(1989) and then investigate the inherent relations between the sequences through Granger Causality Test and impulse response function.The results show that: 1) in the Granger Causality Test,the whole economy fluctuation has no direct effect on the Volatility of Chinese Stock Market,which means the stock market mainly reflects current economy information;2)the impulse response function tells that the period for the influence between the economic fluctuation of Chinese stock market and economy come to be true is about six to eight months.