中国A、B股市场影响因素的比较研究

Empirical Study on the Influential Factors of Stock Market A and B of China

借助时间序列分析方法,利用2005年7月至2007年9月沪深A、B股指数、居民消费物价指数、美元-人民币汇率和银行间同业拆借利率的月度数据,就各因素对A、B股市场的影响差异进行了研究。结果表明,A股市场主要受到来自国内的因素如利率市场和消费市场的影响,而B股市场则更多地受到汇率变动的影响,这种差异在沪市表现得更为明显。研究结论认为,只有进一步加强中国资本市场的制度建设,继续推进汇率改革和提高市场的国际化水平,A、B股市场的整合才能最终完成。

This paper examines the influential factors of stock market A and B of China by using monthly data of stock indices, CPI, US - RMB exchange rate, and IBOR from July 2005 to September 2007. With time - series techniques, the result shows that exchange rate has much impact on stock market B, which means the reform policy on foreign exchange rate is very important to the integration of domestic stock market.