股票市场与宏观经济的动态相关性研究——基于金砖五国的实证分析

The Dynamic Interaction Between Stock Market Price and Macroeconomic Variables:Evidence from BRICS Countries

伴随着贸易全球化与金融自由化,近20年来金砖国家不仅GDP高速增长,其股市市值也实现了腾飞。本文主要研究金砖五国股票市场价格与一系列宏观经济变量之间的因果关系,使用Johansen协整检验验证股票市场价格和宏观经济变量之间的长期均衡关系,使用向量误差修正模型寻找其短期的因果关系。由实证结果发现:五个国家的股票市场价格与宏观经济变量间均存在长期关系;而在短期内,变量间存在复杂的因果关系网络,GDP增速会充当调节器,它将收敛于长期均衡路径以响应其他变量的变动。

Enhanced by globalization of world trade and financial liberalization, the BRICS countries have not only showed a high and steady growth rate of GDP but experienced a tremendous takeoff in stock market capitalization in the last two decades. In this paper, we center on the characteristic of causal nexus among a series of related variables and stock market return contemporaneously in five BRICS countries. We examine the long-term equilibrium between stock market price and other macroeconomic variables, using Johansen’s cointegration test and investigate the short-term causality, by VECM. From the empirical results, we find a long-term relationship between stock market price and macroeconomic variables in each of the five countries. In short term, we find a complicated network of causality between all these variables, however GDP growth rate can act as regulator, which is inclined to converge to its long-run equilibrium path in response to any changes in other variables.