基于ECM对股票市场与货币供给量之间关系的研究

Study on the Relation between Stock Market and Money Supply with ECM

我国宏观经济的波动会影响股票市场的波动,货币供给量是宏观经济中影响股票市场波动的一个重要变量。通过对上证综合指数与货币供应量之间关系的研究,证明上证综合指数与宏观经济货币供应量之间存在着长期稳定的均衡关系。同时,误差修正模型可以看出,上证综合指数不仅受到货币供应量的影响,还受到前一期市场自身因素的影响,即因变量本身滞后性的影响。

In China, the fluctuation of the stock market is influenced by the fluctuation of the macro economy, in which money supply is a key variable. Analyzing the relationship between the Shanghai composite index and money supply, the author finds that they have a long-term, steady and even correlation. In addition, analysis by ECM proves that the Shanghai composite index is affected not only by money supply but the previous market performance itself as well, in other words, a lagging impact of the dependent variable.