股改后我国牛市期间股市财富效应的实证分析

An Empirical Analysis on the Stock Market Wealth Effect During the Bull Market after the Share Reform

本文在考虑居民收入预期的基础上运用VAR模型计量方法,对股改后2006—2008年牛市期间的月度数据进行股市财富效应实证分析。结果发现,股改后我国牛市期间股市价格指数与居民消费支出间存在负相关关系,且无论是在短期内还是长期内二者关系都是十分微弱的。最后从"挤出效应"、"财富幻觉"、"羊群行为"等方面对该结论进行了原因分析。

Based on people＇s income expectations, this paper uses the VAR model measurement to empirical analysis the stock market wealth effect of China during the bull market after the share reform. The result shows that there is a negative correlation between consumption expenditure and the price index of the stock market during the bull market after the share reform, and the relationship is very weak both in the short term and long term. The result also reveals that the basis of China＇s stock market wealth effect in the current stage is weak, and the good circulation mechanism has not yet formed. Finally, the reasons of the result are analysised from the views of the ＂crowding out＂ , ＂wealth illusion＂ and ＂herd behavior＂.