M2与M1同比增长率之差对股票价格波动的信号作用——基于次贷危机前后深圳股票市场数据的动态Probit模型分析  

The Signal Indicating Function of the Difference of M2 and M1's Month-on-Month Growth Rate on the Stock Price Volatility——An Empirical Analysis Based on the Shenzhen Stock Market Data before and after the Crisis Using the Dynamic Probit Model

作　　者：温博慧[1] 袁铭[2] 

机构地区：[1]天津财经大学经济学院金融系,天津300222 [2]天津财经大学理工学院统计系,天津300222

出　　处：《广东金融学院学报》2012年第4期47-57,共11页Journal of Guangdong University of Finance

基　　金：国家自然科学基金青年项目(71103126);国家社科基金重大项目(11&ZD017)子课题;国家社科基金面上项目(11BJY140);天津市高等学校人文社会科学研究项目(20112427)

摘　　要：以次贷危机前后中国深圳股票市场中不同阶段股票价格为研究样本,分析中国M2与M1同比增长率之差对股票价格波动的信号作用、各阶段信号作用的演变以及不同性质板块所受影响效果的差异性。结果表明,从危机发生前到后危机时代,中国货币供给变动与股票价格波动的协整关系呈逐级增强态势;中国M2与M1同比增长率之差对其后5个月的股价波动具有比较稳定的信号指示作用,且在后危机时代,这种信号作用更为明显;利用股价波动状态先验信息的动态Probit模型的预测效果优于静态Probit模型;在中小板市场中信号作用表现更强。Based on the study of stock price in and after the Subprime Crisis in Shenz- hen Stock Exchange, this paper analyzes the signal indicating function of the difference of the M2 and M1 ＇ s year -on-year growth rate on forecasting the stock price fluctuations, and the evolution of signal function in different stages and pates. It finds that the cointegration relationship between changes in money supply and stock price volatility was progressively enhanced along with the crisis. The difference of M2 and M1 ＇s month -on-month growth rate has a relatively stable signal indicating function on the next five months＇ stock price volatility, and this signal is more evident in the post -crisis era. The dynamic Probit model forecasts better than the static Probit model. What＇ s more, this signal indicating function will be more obvious in small-cap plate in the stock market.

关 键 词：M2与M1同比增长率之差 股价波动 动态Probit模型 

分 类 号：F830.2[经济管理—金融学]