制造业PMI和股票市场的相关性研究

A Study on the Correlation between Manufacturing PMI and Stock market in China

本文借鉴前人的研究结果并结合实际情况,选取了PMI、沪深300月收益率(hs)、银行间同业拆借加权平均利率(ir)和工业增加值环比增长率(gy)作为研究变量,利用结构向量自回归(SVAR)模型对变量之间的相互作用关系进行了分析。基于SVAR模型的脉冲响应分析,得到PMI和工业增加值环比增速对于沪深300月收益率具有正向的冲击,而利率对股票市场有负向影响的结论。

By the PMI,Shanghai and Shenzhen 300 monthly return（ hs）,weighted average interest rate on interbank funding（ ir） and industrial added value link relative ratio（ gy） as the research variables according to the previous research results and actual situations,then using the structural vector autoregressive（ SVAR） model,the thesis analyzes the interaction relationship between the variables. Based on the analysis of the impulse response of the SVAR model,the following conclusions are obtained： PMI and industrial added value link relative ratio have a positive impact on the Shanghai and Shenzhen 300 monthly returns,while interest rate has a negative effect on the stock market.