中国股票市场周期性波动的成因分析.docVIP

PAGE PAGE 21 中国股票市场周期性波动的成因分析 摘要：股市作为国民经济的晴雨表，呈现周期性波动的特征。分析股市波动的周期性及其影响因素，无论是对于国家经济政策制定者预测宏观经济的未来走势来说，还是对于市场投资者制定投资计划来说，都具有十分重要的意义。本文首先对中国股市的周期进行分析，分析结果表明中国股市从1990年12月至2014年5月间大体可以划分为四个大周期，周期的平均持续时间为70.25个月，约为6年左右，其中牛市平均持续时间与熊市平均持续时间基本持平，此外，中国股市周期波动幅度较大，存在明显的暴涨暴跌现象。然后本文通过选取一系列宏观经济变量，运用基于VAR模型的脉冲响应和方差分解对上证综指周期性波动的影响因素进行实证分析，其中脉冲响应分析结果表明上证综指对来自进出口总额扰动的响应最为明显，对来自广义货币供应量、固定投资增速、社会消费品零售总额扰动的响应不明显，对来自居民消费价格指数、银行间7天同业拆借月平均利率、工业增加值扰动的响应相对一般，方差分解结果表明宏观经济变量指标总体对上证综指波动的影响有限，这从侧面印证了中国股市还不成熟，与宏观经济基本面存在脱节现象，同时结果还表明上证综指的波动具有很强的延续性和记忆性，从侧面印证了中国股市容易形成羊群效应。 关键词：股市周期；脉冲响应；方差分解 Analysis of the causes of cyclical volatility in Chinese stock market Abstract:The stock market as a barometer of national economy, present the characteristics of periodic fluctuation. Analysis of the stock market and its influencing factors of periodic fluctuation, both for national economic policy makers to predict the future of macroeconomic, or for the market investors investment plan, has the very vital significance. This article first analyzes Chinas stock market cycle, the analysis results show that Chinas stock market from December 1990 to May 2014 in general can be divided into four large cycle, cycle the average duration of 70.25 months, around 6 years or so, the bull market the average duration of basic flat and the average duration of a bear market, in addition, Chinas stock market cycle fluctuation is bigger, there is an obvious phenomenon jumped slump. Then by choosing a series of macroeconomic variables in this paper, based on VAR model, impulse response and variance decomposition to the Shanghai composite index demonstration analysis on the influence factors of cyclical fluctuations, the impulse response analysis results show that the Shanghai composite index from disturbance response is most obvious, the total import and export of broad money supply, fixed investment growth, total retail sales of social consumer goods disturbance response is not obvious, from the consumer price index, the se