从中国股价指数与GDP的相关系数看“股经背离”现象

Empirical study of "breakup between stock market and economy" from the correlation coefficient between stock index and GDP

针对中国股票市场能否扮演经济'晴雨表'的角色问题,通过引进时滞思想,提出了基于相关系数模型来测算股价指数与GDP关系的方法,并利用1991～2006年季度数据进行了实证研究.实证结果为上证综指和深成指与GDP不相关,但在变化的时滞下与GDP增长率呈正相关关系;时滞以2000年为界,前后明显不同:GDP增长率相对于上证综指的滞后季度数为6和16,相对于深成指为6和10;按主要行业分类的价格指教计算,则有工业指数在一定时滞下与实体经济正相关,而金融与地产指数呈现为弱负相关.这可能与中国股票市场处于新兴与转轨时期、规模小以及实体经济的增长主要靠投资与出口拉动等因素有关.但总体上讲,中国股票市场还是具有一定的经济'晴雨表'功能.

Department of Economics,Dalian University of Technology,Dalian 116024,ChinaThis study's objective is to evaluate the issue of economic indicator about Chinese stock index.A new model of correlation coefficient with lagged exchange variable is proposed.An empirical study is made using quarter data from 1991 to 2006.There are following study results obtained:(1) Two main indexes — index of Shanghai and index of Shenzhen,are not correlative with GDP(Gross Domestic Production),and are correlative with growth rate of GDP under a changing time lag.(2) Time lag is obviously different from that before 2000 and after it.The time lag to index of Shanghai is 6 and 16 quarters,and to index of Shenzhen is 6 and 10 quarters.(3) Industry index is correlative with growth rate of GDP under a certain time lag.The reason may be immature,nonstandard,small scale of stock market and economic growth depending on export and investment.To some extent,Chinese stock index has the indicator of economic growth.