中国GDP与上海证券股市的相关性研究  

A Study on the Correlation between GDP and Stock Market in China

作　　者：黄颖强 韩兆洲 周森淼 HUANG Ying-qiang;HAN Zhao-zhou;ZHOU Sen-miao(Huashang College,Guangdong University of Finance&Economics,Guangzhou 511300,China;College of Information Science and Technology of Jinan University,Guangzhou 510632,China)

机构地区：[1]广东财经大学华商学院,广^东广州511300 [2]暨南大学信息科学技术学院,广东广州510632

出　　处：《数理统计与管理》2021年第4期748-760,共13页Journal of Applied Statistics and Management

基　　金：广东省普通高校创新团队项目(2020WCXTD008)。

摘　　要：股票市场与宏观经济二者理应是相互制约相互影响的,但在中国这种关系似乎不太明显。本文对上海证券股市与GDP的相关程度,以及股市中哪些因素与GDP互相影响进行了研究。首先选取2000-2018年的季度数据,使用软件SPSS运用互谱分析的方法研究CDP与上证指数在长、中、短期的相关程度,得到二者在长期有一定相关性,但并不显著,而中短期的相关性较低。然后确定股票成交金额(TST)、股票流通市值(SMC)、上海平均换手率(SATR)作为股市指标,选取1995-2014年的年度数据,使用软件Eviews建立VAR模型研究这年个指标与GDP指数的关系,通过Granger因果检验得到SMC、SATR为GDP的Granger原因,即这两个股市指标在一定程度上对GDP有预测作用。最后通过误塞修正模型确定协整方程,将其预测结果与2015-2017年真实数据相比较,得到除2015年外,预测值与真实值的误差症5%以内。The stock market and the macro economy are mutually restricted and interacted.But this interaction is not obvious in China.This paper studies the degree of correlation between GDP and stock market in China,as well as the interaction between GDP and stock market.Firstly,we select the quarterly data from 2000 to 2018 and using software SPSS to study the correlation between GDP and Shanghai stock index in long,medium and short term by means of cross-spectrum analysis.The results show that there is a certain correlation between the two in the long term,but it is not significant,and the correlation in the short and medium term is lower.Then we choose the turnover of stock trading(TST),stock market capitalization(SMC),Shanghai average turnover rate(SATR)as the index of stock market,and select the annual data from 1995 to 2014 to establish the VAR model by using software Eviews to study the relationship between these three indexes and GDP index.Then we get the Granger reason of SMC,SATR as GDP by Granger causality test.That means the two stock market indicators to a certain extent to predict the role of GDP.Finally,according to the cointegration equation determined by the error correction model,and the predicted results are compared with the real data from 2015 to 2017.In addition to 2015,the error between the predicted value and the real value is less than 5%.

关 键 词：GDP 上证指数 互谱分析 VAR模型 

分 类 号：F224.7[经济管理—国民经济] O212[理学—概率论与数理统计]