中国股市收益与经济增长背离现象的协整性检验  

Cointegration Analysis of China's Stock Market Returns and its Economic Growth

作　　者：王瑞泽[1] 

机构地区：[1]首都经济贸易大学,北京100026

出　　处：《商业研究》2006年第12期92-94,共3页Commercial Research

摘　　要：近年来很多专家学者已经注意到了中国股市收益与经济增长相背离的现象,并将这种现象称之为“股经背离”。应用计量经济学中的协整理论,对我国股市收益与经济增长的关系进行实证分析,结果表明,代表虚拟经济的股市和代表实体经济的经济增长之间并不具有长期的均衡关系,从而用计量经济学的方法进一步证实了“股经背离”现象的存在。More and more scholars and experts are paying attention to the phenomenon that China＇s stock market returns have nothing to do with its economic growth, and they name this phenomenon as ＂breakup between stock market and economy＂ . Based on the theory of cointegration from econometrics, this paper analyzes the relationship between China＇s stock market returns and its economic growth.The cointegration regression analysis shows that there does not exist a long-run equilibrium relationship between them, which further proves that the phenomenon of ＂breakup between stock market and economy＂ does exist in China.

关 键 词：股市收益 经济增长 股经背离 协整 

分 类 号：F830.91[经济管理—金融学]