我国消费者信心指标与股价指数的关联度研究

On the Correlation between China's CCI and Stock Price Index

我国股市"非理性投机"、"弱式有效市场"的现状,造成我国如今股市低迷、投资者信心不足等严重的问题。而通过传统的技术分析和基础分析手段,无法对股市震荡、股价的波动进行完美的诠释,因而部分学者开始另辟蹊径,探寻能够更好解释股价变动的"第三条中间路线"。此时,我国消费者信心指标的编制与发布,为研究提供了全新的视角与思路。我国自2003年底开始编制并发布消费者信心指标,旨在从宏观整体经济发展,到微观股市汇市走势研究预测方面,发挥该指标强大的领先与预测功能。文章选取我国三组消费信心指标、上证综指与深证综指两组股价指数,通过相关性检验、因果检验与脉冲响应指数与方差分解等方式,不仅得出我国消费信心指标与股价变动之间较强的关联性,还通过分样本区间的讨论,得出股市衰退、股价下滑阶段,CCI指标与股价指数的关联度更大的结论。

Nowadays, in China, irrational speculation and the weakness of effective market has caused serious problems such as the downturn of stock market and the lack of investors＇ confidence, etc. By traditional means of technical analysis and fundamental analysis, a perfect illustration of the stock market volatility and stock price fluctu- ations cannot be given, thus some scholars have begun to explore a ＂third middle way＂, in which a better explana- tion can be given. At this time, the compilation and publication of China＇ s consumer confidence index has provided a new research perspective for researchers. Since the end of 2003, our country has started to compile and publish CCI, aiming at giving play to the strong leading performance and prediction functions of the index as regards the macroscopic overall economic development and the microscopic prediction of the stock markets. Then, information a- bout the three groups of CCI and Shanghai composite Index and Shenzhen composite Index are selected. Through the index of correlation test, causality test, impulse response and variance decomposition methods, we come the conclu- sion that there exists a relatively strong correlation between China＇ s CCI and the share price movements, which is e- ven stronger in a stage when the stock market is declining and the stock price decreasing.