货币供应量与股票指数收益率关系的实证研究  

A Positive Analysis on the Relationship between Money Supply and Stock Payoff

作　　者：陈践[1] 赵欢[1] 王丹[1] 

机构地区：[1]西安翻译学院经济管理学院,陕西西安710105

出　　处：《西安翻译学院学报》2011年第1期35-37,34,共4页JOURNAL OF XIAN FANYI UNIVERSITY

基　　金：2010年西安翻译学院科研课题：“宏观经济变量与股票投资关系研究”（编号：10B19）之研究成果之一.

摘　　要：货币供应量对证券资产价格的影响历来为管理者、投资者所关注。本文采用2003年1月至2010年7月的月度相关数据，对货币供应量与股票市场之间的关系进行实证分析，结果发现：股票收益与M1、M2及准货币不存在协整关系。股票收益率对M1的变化率在1％统计水平上显著，并且M1的变化率对股票收益率在10％统计水平上显著；M2的变化率与股票收益率存在双向影响关系，并且都在10％水平上显著；准货币的变化率与股票收益率的关系在统计上不显著。It is always the spotlight for all kinds of decision makers that to what extent the change in money supply has impact on share prices. Monthly data of money supply and stock returns in Chinese share markets are investigated with econometic methods from January 2003 to July 2010. The results show that （1） there is no cointegration relationship between stock payoff and M1, M2 and M0. （2） there is unilateral causality relationship between stock payoff and M1 rate, and statistically significant at 1% level, meanwhile, there is unilateral causality relationship between M1 rate and stock payoff, and statistically significant at 10% level. （3） there is bilateral causality relationship between M2 and stock payoff, and statistically significant at 10% level. （4） there is no causality relationship between quasi-money and stock payoff.

关 键 词：货币供应量 股票收益率 协整检验 格兰杰检验 

分 类 号：F822.0[经济管理—财政学]