宏观经济指标发布和市场预期——基于我国股票市场的实证研究

Macroeconomic Indicators Announcements and the Role of Market Expectations——Eempirical research based on China Stock Markets

文章运用EGARCH模型,实证分析了未考虑市场预期和考虑市场预期的国内生产总值、固定资产投资、消费者物价指数、生产者物价指数、进出口、失业率及货币供应量七个宏观经济指标的发布对我国股票市场收益和波动的影响。结论表明,股票市场的收益和波动没有对发布的宏观经济指标做出反应,能够影响股票市场收益和波动的是经济指标包含的内容——消息。另外,货币供应量、进出口、消费者物价指数和生产者物价指数指标的发布对我国股票市场最重要。

The paper uses EGARCH to analyze the impact of the announcement of GDP,fixed investments,CPI,PPI,international trade balance,unemployment rate and money supply on the returns and volatilities of Chinese stock market under two scenarios,namely,under the first scenario of taking no account of market expectations,and under the second scenario of taking into account market expectations.Our findings show that the returns and volatilities of Chinese stock market do not respond to the act of releasing these economic indicators,but do respond to the news content included in these announcements.Among these indicators,money supply,international trade balance,CPI and PPI are of primary importance.