我国CPI、PPI差值与股票指数关系的实证研究——以上证指数为例

Empirical Study on the Relationship Between CPI-PPI Difference Value and Stock Index——Shanghai Stock Index Case

本文以A股市场的驱动方式逐渐由政策推动转变为业绩驱动为假设,定量分析了反映上市公司单位产品毛盈利的CPI、PPI差值与上证指数之间的关系。实证结果显示:CPI、PPI差值与上证指数之间关系稳定,并且其变动对上证指数的变动构成显著影响,可将此模型作为传统预测指数方法的拓展。

Based on the hypothesis that A-stock market is driven by company performance instead of policy control, this paper analyses the relationship between CPI-PPI difference value which reflects per-product＇s gross profit, and Shanghai Stock Index. This paper uses Johansen Cointegration Test to establish the long relationship between these two factors, and then quantified by VAR model, at last uses Impulse Response Function to reflect the time distribution of CPI-PPI difference value change and Shanghai Stock Index. The empirical results show that, the relationship between CPI-PPI difference value and Shanghai Stock Index is stable, and the difference value changes has obvious effect on Shanghai Stock Index changes. This model can be considered as a complement to traditional stock index forecasting model and it also can make predictions as well.