基于Granger因果检验的我国股票市场财富效应研究

Research on Wealth Effect of Chinese Stock Market Based on Granger Causality Test

对2015-2018年股票市场的相关统计数据进行季节性调整、单位根检验、协整检验,利用Granger因果检验进行实证研究。结果表明:我国股票市场从长期来看,既不存在直接财富效应,也不存在间接财富效应。最后对此结论进行了分析并给出了相关建议。

Based on the related data of stock market in 2015-2018,this article used seasonal adjustment,unit root test,cointegration test,Granger causality test methods,the empirical research showed that in the long run,there is no direct or indirect wealth effect in Chinese stock market. At last,the article analyzed the conclusions and gave relevant suggestions.