中国电影市场和股票市场的相关性研究

Research on the Relevance of the Stock Market and Film Market in China

研究了股票投资市场和电影市场的关联性,揭示了股权投资市场收益率的波动和中国电影票房收入变动率之间的关系。我们收集了2006-2012年中国股票市场、人均可支配收入、国内电影票房的数据,在数据平稳性和格兰杰因果关系检验的基础上,建立了相关的计量经济学模型,对我国股市和电影票房的关联性进行研究。结果显示:中国电影市场有明显的季节效应,股市的变动对电影票房存在直接和间接的影响。中国电影产业存在与美国电影产业类似的"口红效应",股票收益率对电影票房的影响是前导性的,滞后一个月的上证综指收益率,滞后两个月的城镇居民人均可支配收入波动率对电影票房波动有较为显著的影响,金融市场产生的财富影响电影市场需要一定的时间。

The paper studies the relevance of the stock market and the film market. We proclaim relation- ship between the fluctuation of equity market returns and the rate of Chinese box office change. On the base of data stationarity test and granger causality test on China~ stock market returns and growth rate of domestic box office from 2006 to 2012, we established a related econometric model to study the correla- tion of stock and film market in China. From the research, we find the film market has obvious seasonal effect, and fluctuations of the stock market have direct and indirect effects to the box office. It exists the ＂lipstick effect＂ in Chinese film market, which also exists in the American film market. The fluctuation in stock market returns affects the investors＇ wealth which directly influences the investments of film mar- ket. The influence of stock returns to the box office is advanced. The yield rates of Shanghai Composite Index of lagging a month and volatilities of urban residents per capita disposable income of lagging two months were negatively correlated with box office significantly. The wealth from financial market needs time to affect the film market.