货币政策、股市扩容对股市收益率的影响:2006-2011——基于供给和需求的分析框架研究  

The Impact of Monetary Policy and Stock Market Expansion on Stock Market Returns:2006-2011——an Analytic Framework Study Based on the Supply and Demand

作　　者：黄磊[1] 邹昆仑[1] 

机构地区：[1]山东财经大学金融学院,山东济南250014

出　　处：《山东财政学院学报》2013年第1期5-11,共7页Journal of Shandong Finance Institute

基　　金：教育部人文社科规划青年基金项目"金融危机冲击下的我国货币政策的区域结构效应研究"(10YJC790379)

摘　　要：从股票供给和需求两方面来建立分布滞后回归模型(ADL),检验股市扩容和货币政策变动对股市收益率的影响。货币政策主要分为数量型和价格型两种工具,数量型货币政策主要考虑货币供给,价格型货币政策主要考虑利率,这些是从影响股票需求方面分析;股市扩容是从股票供给方面来分析。实证结果表明,当把M1/GDP作为货币供给的代理变量时,利率和滞后两期的上证指数是影响上证指数收益率的主要原因,利率和滞后两期的深圳成指是影响深圳成指收益率的主要因素,IPO、货币供给的影响因子通不过显著性检验;当分别把M2/GDP和信贷余额增速作为货币政策代理变量时,只有利率对股市收益率有影响,IPO和货币供给对股市收益率的变动没有影响。The ADL model is established based on the supply and demand to test the impact of monetary policy and monetary policy changes on stock market returns. Monetary policy mainly has two tools, the scalar type and price type. The former mainly considers money supply and the later mainly considers interest rate, both of which affect stock demand. The expansion of stock market affects stock supply. The empirical results show that when M1/ GDP serves as the proxy variable, interest rate and SSE Composite Index with two years＇ lag are the major factors affecting the rate of return of Shanghai index, and interest rate and SZSE Component Index with two years＇ lag are the major factors affecting the rate of return of SZSE Component Index. IPO and money supply can not pass the significant test. However, when M2/GDP and CRG are considered respectively as the proxy variable, only interest rate affects the return rate of the stock market, IPO and money supply have no effect on rate of yield.

关 键 词：股市扩容 货币政策 股市收益率 分布滞后回归模型 

分 类 号：F830.91[经济管理—金融学]