大宗商品金融化对我国股票市场的影响研究--以股票市盈率变动为载体

Research on the Influence of Commodity Financialization on Chinese Stock Market--Based on the Change of Stock P/E

本文采用2015M1至2021M2的国际大宗商品价格指数和国内大宗商品价格指数作为大宗商品价格衡量指标,上证指数和深证指数作为我国股票市场变量来构成面板数据,应用面板门槛模型分析大宗商品价格波动对股票市场的影响,并结合货币政策、股票市场特征、结构和宏观经济四个层面进行分析。研究发现,大宗商品价格波动对股票市场的影响效果存在滞后性,产生的原因为物价层面﹑贸易层面和商品期货市场三个层面。

This study uses international commodity price index and domestic commodity price index from 2015 M1 to 2021 M2 as commodity price measurement indicators,with Shanghai Composite Index and Shenzhen Stock Exchange Index as Chinese stock market variables to form panel data,applies panel threshold model to analyze the impact of commodity price fluctuations on stock market combined with the analysis of monetary policy,stock market characteristics,structure and macroeconomics.It is found that there is a delay in the impact of commodity price fluctuations on the stock market,which is caused by the three,including the price level,the trade level and the commodity futures market.