我国股票市场财富效应的实证分析

An Empirical Analysis on Stock Market Wealth Effect in China

该文应用格兰杰因果关系检验和协整分析方法,对我国股票市场的财富效应作了实证分析,指出我国股票市场不具有财富效应而仅具有替代效应.

This paper uses the Granger causality test and the cointegration approach to analyze the stock market wealth effect in China empirically. It is pointed out that there is no wealth effect, but only substitutive effect exists in China's stock market.