中国股市周期与经济周期的动态关联研究

Study on Dynamic Relationships between the Stock Market Cycle and Economic Cycle in China

本文运用动态条件相关估计方法（DCC）来考察中国股市周期与真实经济周期以及金融经济周期的动态关系。研究发现，在样本期间内（1996年1月-2010年12月），股市周期与金融经济周期以及真实经济周期的动态相关关系基本上为正相关关系，可见我国股票市场的周期波动很大程度上受到真实经济周期波动与金融经济周期波动的共同影响。与真实经济周期相比较而言，金融经济周期与股市周期的动态关联程度更高。而且在不同的牛熊市阶段，股市周期与真实经济周期以及金融经济周期的动态关联也各不相同，体现了不同牛熊市阶段的运行特征。总体来看，股市周期与真实经济周期以及金融经济周期之间的动态关联在不断加强。虽然股市周期与真实经济周期以及金融经济周期的运行并不会完全同步，但是反映真实经济周期指标与金融经济周期指标的重要高低点是判断股市周期运行顶底的一个重要参考依据。

In this paper, we use Dynamic Conditional Correlation method to study the correlation between the stock market cycle and economic cycle in China. The results show that the stock market cycle, the real business cycle and the financial cycle basically have pcsitive correlatious, so the real business cycle and financial cycle fluctuations largely have combined effects on China＇s stock market cycle fluctuations. Compared with the real business cycle, the financial cycle and the stock market cycle have a higher degree of dynamic association; moreover the dynamic correlations among the stock market cycle, the real business cycle and the financial cycle are different in different bull and bear market phases, and it reflects the operation characteristics of different stages. Overall, the correlations among stock market cycle, real business cycle and financial cycle are continuously strengthened. Although the operation of stock market cycle, real business cycle and financial cycle are not completely synchronized, indicators which reflect the high and low of the real business cycle and financial cycle are important references to determine the top and bottom of the stock market.