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市盈率作为衡量股票内在价值的一个重要指标,在A股市场应用过程中,尤其是在衡量指数方面,遭遇了诸多模菱两可的困局,这给投资者和分析人士提出了严峻的挑战。尽管如此,市场在衡量指数投资价值或风险之时仍然对市盈率法乐此不疲。本文用金融计量相关方法对市盈率衡量指数是否合适进行实证研究,结果显示:市盈率与指数之间相关关系不成立;市盈率的变动对指数变动的解释程度很低,脉冲响应在相当长滞后期内不收敛,影响不确定;市盈率的变动(一阶差分)在很大程度上不是指数变动(一阶差分)的原因,而只是结果。因此,用市盈率来判断指数所处阶段的投资价值或风险并不科学。
Price-earnings ratio as an important measure of stock intrinsic value of an important indicator of the A-share market in the application process, especially in the measurement index has suffered a lot of moderation dilemma, which gives investors and analysts posed a serious challenge. Nonetheless, the market is still blessed with the P / E ratio when it measures the value or risk of an index investment. This paper uses the financial measurement method to measure the P / E of the index is suitable for empirical research, the results show that: the correlation between the price-earnings ratio and the index is not established; price-earnings ratio changes on the interpretation of the index is very low, impulse response does not converge in a long delay , The impact is uncertain; changes in P / E ratio (first-order difference) are largely not the cause of the index change (first-order difference) but only the result. Therefore, it is unscientific to use P / E ratio to judge the investment value or risk at the index stage.