宏观经济政策变化对股市价格波动性影响的.docxVIP

湖南商学院毕业论文 内容摘要 宏观经济政策变化与股票市场价格行为关系问题，一直是国内外学术界研究的热点。中国宏观经济政策调整的频繁性及股票价格波动的剧烈性凸显新兴经济体的特征。但是，中国宏观经济因素到底对股票价格的影响如何？国内学术界虽然进行了一定程度的探究，但由于研究视角、研究方法和样本数据选取的差异，其研究结论不一。 本文试图从理论和实证两个方面对该问题进行系统的研究，凸显较大的理论意义和现实指导作用。在体统梳理国内外相关研究成果基础上，本文通过离散性政策和连续性宏观政策变量两个层面，运用“异常波动法、VAR 模型、Granger 因果关系检验和脉冲响应函数方法系统地实证检验了中国宏观经济政策对股票价格波动短期和长期影响。结果发现，中国离散型政策宣告与股市价格波动存在显著关系。短期政策对股市波动影响较为显著。同时，股市对利空、利好信息的反应敏感度存在差异。宏观经济变量对股票价格波动存在影响，滞后性特点。而且，流动性指标(M0、汇率)与股市波动存在相关关系，但宏观经济政策中介指标与股市波动长期相关性较弱。最后，本文从政府角色定位、完善宏观调控和市场机制等方面就宏观政策变化与市场波动的问题提出相关的政策建议。 关键词 离散型政策宣告；宏观经济指标；股票价格波动 1 页 共 31 页 湖南商学院毕业论文 ABSTRACT The relationship between macroeconomic factors and stock market price is one of hot spots that finance is being interested in. There are some new characteristics in domestic economy that contain the unstable change and abnormal volatility in such a emerging market. How do macro-economic factors lead to the stock market shock? The conclusion has not yet been agreed widely because researches have different methods and directions. The paper is going to combine with economic knowledge and Positive tools to pursue the relationship between macroeconomic factors and stock price. Based on the analysis system of the foreign and domestic researches, this paper analyses the impact of short-term macro-economy policy, as well as the long-term policy, on the fluctuation of the stock price with the econometric methods including Abnormal fluctuation method Vector Autoregression, Granger casualty test, Impulse Responses Analysis. It is concluded that the Chinese government’s dispersed policy has a clear relationship with price behavior. The responses of market between the positive and negative information reflected the policies are hardly different. The result shows that some of the typical variables representing macro-economy policy’s effect have an impact on stock’s price with a lagged effect mostly. Mobility (M0, Exchange rate) has a more significant impact on price behavior. However, the long-term relationship is weak be