宏观经济环境、政府调控政策与股票市场波动性——来自中国股票市场的经验证据

Macro economic environment, government regulation policy and stock market fluctuation——Empirical evidence from Chinese stock market

以2000年1月——2008年6月的上证综合指数、宏观经济景气指数以及货币政策和财政政策的相关数据为样本,利用GARCH模型实证研究宏观经济环境、政府调控政策与中国股票市场波动性的关系。研究结果表明,中国股票市场对宏观经济环境变化的反映功能存在一定程度的缺失,财政政策的调控功能基本上处于失效状态,利率政策在现实经济环境中也未能发挥作用,货币供应量政策因其直接影响股票市场资金供给而产生了明显的影响。论文研究结果能够对中国股票市场的某些"异常现象"进行比较合理的解释。

We take Shanghai Exchange Composite Index, macro economic climate index and the related data from monetary and fiscal policies from Jan. 2000 to Jun. 2008 as the samples, and use GARCH model to study the relationship among macro economic environment, government regulation policy and Chinese stock market fluctuation. The results show that Chinese stock market fails to reflect the changes in macro economic environment to some extent, the regulation function of fiscal policy seems ineffective, interests policy plays little role in the real economic environment, and that money supply policy has obvious influence due to its direct impact on the capital supply for stock market. The results give proper explanation for some ＂abnormal phenomena＂ in Chinese stock market.