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宏观经济变量对股票市场的影响作用一直以来是学界研究的热点问题。本文通过借鉴国内外对股票价格指数与宏观经济发展关系的相关研究,选取货币供给量指标M1、居民消费价格指数、平均汇率以及工业增加值等因素建立了一套影响股票价格指数波动的宏观经济发展指标体系,在此基础上构建了向量自回归模型,进行相应的实证分析,并对上证指数进行模拟和预测。研究结果表明,上证综指预测值虽然不是很理想,但是其趋势与真实走势还是比较一致的。最后,得出相关研究的一些启示。
The effect of macroeconomic variables on the stock market has always been a hot issue in academic research. This paper establishes a set of macroscopical economy that affects the fluctuation of the stock price index by referring to the domestic and foreign related researches on the relationship between the stock price index and macroeconomic development, selecting the M1, the consumer price index, the average exchange rate and the industrial added value. Development index system, based on which a vector autoregression model is constructed, and the corresponding empirical analysis is carried out, and the simulation and forecast of Shanghai Stock Index are carried out. The results show that, although the predicted value of the Shanghai Composite Index is not very satisfactory, but the trend and the real trend is more consistent. Finally, some enlightenments of related research are drawn.