世界股票市场统一指数设计与应用研究——对亚、美、欧三地区股票价格指数为样本的分析  

Design of World Stock Market Unified Index and Its Application

作　　者：王立民[1] 薛雅嘉[1] 朱晓慧[1] 

机构地区：[1]北京科技大学东凌经济管理学院,北京100083

出　　处：《北京科技大学学报（社会科学版）》2012年第1期103-111,共9页Journal of University of Science and Technology Beijing(Social Sciences Edition)

摘　　要：文章以全球75个国家的股票市场指数为研究样本,根据指数的编制原则,采用派许指数和简单平均的计算方法,提出变化率的指数设计方法,分别设计出亚太地区、美洲地区、欧洲地区的股票价格指数,并以这三个地区为样本,编制出世界股票市场统一指数。最后实证检验了世界股票指数与各地区主要股票指数的相关性,运用Granger因果检验世界股价指数与世界GDP的因果关系,结果表明"世界股市是世界国民经济的‘晴雨表’"的结论。In this paper, making the seventy-five countries as simples, we first use computing methods of Passche weighted and simple average to present an index design method of change rate based on formation principle of index, and then work out stock price indexes of Asia-Pacific, America and Europe, respectively. We draw up a unified index of global stock market according to the three regions. Finally, we empirically make a analysis of the correlation, between world stock index and region stock index. We use Granger causality method to test the causal relationship between world stock index and GDP. The results indicate that world stock market is the ＂barometer＂ of world＇ national economy.

关 键 词：世界股价统一指数 GDP GRANGER因果检验 

分 类 号：F83[经济管理—金融学]