摘要
本文研究了上证指数与宏观经济指标变化之间的协整关系 ,并在多因素协整分析的基础 ,利用误差修正模型建立了二者之间的预测模型。其结果表明 1995年 1月到 2 0 0 0年 9月这段时间内 ,上证指数对长期利率、短期利率以及货币供应量的变化是敏感的 ,但同国民生产总值、固定资产投资、全国物价指数的变化之间没有长期均衡的关系 ,这对于我国证券市场的分析具有一些指导意义。
In this paper, we study the cointegration between macroeconomic variables and the index of Shanghai stock market. On the base of multivariate-cointegration analysis, we stimulate the error correction model between associate variables from 1995.1 to 2000.9. The result shows that the index of Shanghai stock market is interest and money supply sensitive, but don't cointegrate with gross domestic product, fixed assets investment and price index. This finding has some guding significance on the analysis of domestic stock market.
出处
《预测》
CSSCI
2002年第4期52-55,共4页
Forecasting
关键词
上证指数
宏观经济指标
协整关系
回归模型
误差修正模型
Co-integration
regression model
error correction model
index of Shanghai stock market
macroeconomic variables
