宏观经济信息与股价联动——基于中国市场的实证分析  

Macroeconomic information and stock price synchronicity: Empirical analysis in Chinese stock markets

作　　者：余秋玲[1] 朱宏泉[1] 

机构地区：[1]西南交通大学经济管理学院,成都610031

出　　处：《管理科学学报》2014年第3期15-26,共12页Journal of Management Sciences in China

基　　金：国家自然科学基金资助项目(70971110;71171170;71273040);高等学校博士学科点专项科研基金(博导类)资助项目(20120184110021)

摘　　要：中国证券市场自成立以来,一直被冠以"政策市场",宏观经济信息对股价变化产生了重要影响.本文通过构建股价联动测度指标,首次从行业层面定量地探讨宏观经济信息对中国A股市场股价联动的影响.结果表明:宏观经济指标,如国内生产总值等,对A股市场中除金融与保险业以外的所有行业的股价联动均产生显著的影响,但不同行业间程度存在差异;在不同市场环境下,宏观经济信息对同一行业股价联动的影响也存在显著的差异,即相对于牛市,在熊市中宏观经济信息对股价联动的影响更大.这表明,在中国证券市场中宏观经济信息对股价联动的影响既有行业特征,同时也具有市场环境特性.The Chinese stock markets have been designated as policy markets since they were founded. The macroeeonomic information plays an important role in the changes of stock prices. This paper explores the effects of macroeconomic information on the stock price synehronicity at industry level in Chinese stock mar kets. The results show that macroeconomic information, such as Gross Domestic Product （GDP） , has signifi cant impacts on the industrial stock price synchronieity of all industries except finance and insurance. The ex- tent of stock price synchronicity varies among industries. Furthermore, the extent of synchronicity of each in- dustry differs between bull and bear market, i. e. , the synchronicity is higher in the bear market than it is in the bull market. These demonstrate that the synchronicity in Chinese stock markets is characterized by both in dustrial idiosyncrasy and market performance.

关 键 词：股价联动 宏观经济信息 市场环境 

分 类 号：F830.91[经济管理—金融学]