宏观经济与股市波动的关联性研究  

Investigating on China's Stock Market Volatility and Macroeconomic Indicators

作　　者：张保银[1] 吴正泓[1] 

机构地区：[1]天津大学管理与经济学部,天津300072

出　　处：《武汉理工大学学报（信息与管理工程版）》2014年第6期843-847,共5页Journal of Wuhan University of Technology：Information & Management Engineering

基　　金：国家自然科学基金资助项目(71271152)

摘　　要：宏观经济运行状况是影响投资者对市场进行预测的重要因素,以2003年1月至2013年6月期间8组宏观经济指标和上证指数月度波动率为研究对象,引入数据挖掘技术中的CARMA算法对两者进行关联规则挖掘,研究宏观经济指标与股市波动的关联性。结果表明,上证指数波动率能反映宏观经济指标的变化,两者存在显著关联性,宏观经济指标可为投资者、上市公司和政府提供决策依据,中国股市未达到弱势有效水平。Macroeconomic conditions are important factors for investors to predict market.SSE Composite Index volatility and eight groups of macroeconomic indicators, which are covering January 2003 to July 2013, are selected to study the relevance be-tween China＆#39;s stock market volatility and macroeconomic indicators by CARMA algorithm.The results show that SSE composite index volatility can reflect the change of macroeconomic indicators;there is a significant correlation between them;macroeconom-ic indicators could be decision-making basis of investors, listed companies and government.China＆#39;s stock market has not yet reached the level of Weak-Form Market Efficiency;technical analysis is still can be applied in this stock market.

关 键 词：股市 宏观经济 波动率 关联规则 

分 类 号：F830.91[经济管理—金融学]