中国股票市场财富效应的实证检验

An Empirical Analysis on Wealth Effect of China Stock Market

本文利用2005年1月至2008年8月的月度数据,综合运用单位根检验、协整检验、格兰杰因果检验和脉冲响应分析等方法对中国股票市场的财富效应进行了实证分析。研究结果表明:随着我国股票市场的发展,股票市场的财富效应已不断增强。从长期看,股票市场的财富效应存在,股票价格的上升,将刺激居民消费需求的增加;从短期看,股票市场的财富效应不存在,居民消费需求不随着股票价格的上升而增加。财富效应要发挥作用,有待于改善股票市场的发展基础,创建一个较长时期内相对繁荣、稳定的股票市场。

In this paper, the monthly data of stock market from Jannuary,2005 to Augest,2008 have been used to do the empirical analysis on the wealth effect of China stock market by synthetically applying the Unit Root Test, Cointegration Test, Granger Causality Test and Impulse Response Analysis, etc. The research shows that the wealth effect of china stock market has been amplified with the development of stock market. From the long term, the wealth effect really exists, the increase of the stock price will stimulate the resident consumption demands going up. From the short term, the wealth effect of stock market is not in existence, the resident consumption demands will not increase when the stock prices go up. The wealth effect is due to the development foundation of stock market, establishing the long - term thriving - prosperous and stable stock market.