中国股票市场财富效应的实证研究——基于2003—2009年季度数据的分析

An Empirical Research on the Wealth Effect of China Stock Market——Based on the Analysis of Quarter Data from 2003 to 2009

在总结国内外学者选用变量的基础上,加入测度消费者信心的变量,利用持久收入假说构建回归模型,对各个非平稳时间序列进行协整分析,并进行格兰杰因果检验,以确定长期中各变量之间的相互关系和影响程度,最后采用ECM模型考察股票价格与消费变动之间的短期调整状况。结果表明,现阶段中国股票市场财富效应已经初步显现,但影响力度比较微弱。

Based on the summary of variables chosen by foreign and domestic scholars, this paper adds a new variable to measure confidence of consumer and builds up the regression model by the use of the hypothesis of absolute income. Meanwhile, co - integration and Granger causality test of each non - stationary time series are carried out in order to determine the long - term relationship between variables and the degree of its in- fluence. Finally, ECM model is adopted in investigating the short -term adjustment status between stock prices and consumption changes. It is concluded that at present stage China wealth effects have began to emerge, but intensity of influence is very weak.