股票价格波动与宏观经济关系的理论和实证探讨

Theoretical and Empirical Analysis of Stock Price Fluctuation and Its Relationship with Macro- economy

受各种因素的综合影响,证券价格经常发生大幅波动。国外学者对证券价格波动的研究已开展了多年,并伴随着西方证券市场的发展而日益成熟。相对而言,我国的证券市场起步较晚,市场成熟度不高,价格波动频繁剧烈,这对我国经济发展产生了一定的影响。本文就利率、货币供应量、汇率等因素对股市发展的影响进行了分析,发现宏观经济变量与股市之间存在着相互影响的关系。宏观经济变量除了可以单独影响股市外,还可以通过相互作用来共同影响股市。工业增加值增长率、商品价格、人民币汇率与上证指数同向变动,货币供应量与上证指数反向变动。

Affected by various factors synthetically, high volatility in the stock price often occur. Foreign scholars have carried out relevant studies on the stock price fluctuations for years, which are increasingly mature with the development of securities market in the west. Comparatively speaking, the securities market in China is still young and market is not mature. So the price of securities often fluctuates very sharply, which influences the development of China＇ s economy greatly. In this paper, the influence of factors such as the interest rate, money supply, exchange rates on the development of the stock market is analyzed, and it is found that macroeconomic variables and stock market influence each other. Macroeconomic variables, in addition to affecting the stock market alone, can also influence the stock market mutually through the interaction, specifically, the industrial added value, commodity prices, the RMB exchange rate and the Shanghai composite index change in the same direction, money supply has reversed changes with the Shanghai composite index .