上证综指:基于计量模型的一个分析

An Analysis of Shanghai Securities Composite Index Based on an Econometric Model

考察汇率、利率、GDP增长率、成交量、换手率、市盈率、基金成交金额和流通市值这8个与上证综指在理论上有相关性的备选解释变量,采取以平均经济回归方法为指导的建模策略,构建经得住多重共线性检验、异方差检验、模型设定偏误检验和自相关检验等各种检验且统计性质优良的线性模型和对数线性模型,并对这两种模型的拟合优度进行比较后可以证实:上证综指与汇率、利率和GDP增长率等宏观经济变量的相关度很低,与成交量、换手率、市盈率、基金成交金额和流通市值等微观市场变量却有着很强的相关性。这一结论并不能否定宏观经济对股市的影响,相反却恰好从计量经济的角度反映出上海股市在股改完成前的结构性缺陷。

Eight variables such as exchange rate, interest rate, GDP growth rate, trading volume, turnover ratio, P/E ratio, trading volume of funds and tradable market value theoretically related to the index are chosen here as possible explanatory variables, and the modeling strategy is guided by the average economic regression principle in which a model involving only one explanatory variable is first established and more explanatory variables will later be added into the model as long as they do not deteriorate the statistic quality of the model. Linear models and logarithmic linear models that can pass various econometric tests such as ADF, ARCH, and RAMSEY and have no problem of multi - collinearity and self - correlation, are built and compared with respect to goodness of fit. By doing so, it is proved that Shanghai Composite Index is poorly correlevant to macro- economic variables such as exchange rate, interest rate and GDP growth rate, but highly correlevant to micro- market variables such as trading volume, turnover ratio and the like. This conclusion cannot deny the connection between macro economy and stock market. On the contrary, it reflects some structural limitations of Shanghai stock market before its recent reforms.