中国宏观经济与股价之间关系的关联性研究——实证考察宏观经济对股市影响的数量程度

Research on the Relationship Between Macroeconomy and Stock Price in China——Empirical Study on Quantity of Macroeconomic Influence on Stock Market

文章基于季度抽样数据利用Granger因果检验法对中国宏观经济与股市的关系从实证角度作了考察,发现中国宏观经济对股市有着决定性的影响关系。在此基础上进一步建立了一阶自回归误差模型,得到了中国宏观经济对股市影响的数量关系。由此对中国宏观经济与股市之间的关系有一个清楚地认识。

Basing on the quarterly sampling data, this paper does an empirical research on the relationship between macroeconomy and stock market in China by Granger causality test, and finds that macroeconomy has a critical influence to stock market. Moreover, on the basis of that, this paper constructs the first - order autoregression error model to get the quantitative relationship of macroeconomic influence on stock market. Thus, we could get a clear recognition on the relationship between macroeeonomy and stock market in China.