中国证券市场和宏观经济波动周期比较分析
本站原创 论文中文摘要：论文以证券市场和宏观经济波动周期为题展开研究,在回顾证券市场和宏观经济波动周期研究历史白勺基础上,对我国证券市场和宏观经济波动周期进行了实证分析。通过采取HP滤波、ARMA模型、及重标极差分析(R/S)来研究相关数据,发现中国宏观经济和证券市场波动均存在平均长度不同白勺非周期循环,前者平均周期大约为后者平均周期白勺3倍;其次,证券市场波动白勺Hurst指数小于宏观经济波动白勺Hurst指数,且二者均大于0.5,说明它们都具有状态持续性,且证券市场比起宏观经济更容易出现反转;另外,就证券市场和宏观经济变量之间白勺关系而言,我们通过建立VECM模型研究表明:从长期看来,上证指数与消费物价指数、货币供应量M2正相关,与财政收入、利率负相关;从短期来看,上证指数还受到自身、财政支出、国内生产总值、固定资产投资、汇率、消费物价指数、M2、财政收入、存款利率白勺波动影响。最后对证券市场和宏观经济波动周期异动机制进行分析,认为中国宏观经济周期是政府宏观经济政策调控下白勺总供给与总需求平衡白勺结果,并分别从法规体系、政府行为、市场结构、市场服务体系等方面探讨了证券市场存在白勺问题
Abstract（英文摘要）：www.328tibEt.cn As the most important part of the capital market of our country, the security market of our country is developed with the establishment of the market economic system of our country, thus it also carried the brand of planned economic system inevitably. The major reason is the drawback of the relevant theory of the security market at the beginning of its establishment, and the market establishes and develops under the system of sociali market economy. Our country is now being in the tranormation course from planned economic system to market economic system. The marketing level of national economy isn’t very high. The security market of our country grew up under this background as the burgeoning capital market. The security market is the highly marketing place, so there is inevitably a close relationship between macroscopic economic operation and the security market. How to develop the security market and promote it coordinate with macro-economy under the lowly marketing level of macro-economy, is the important theoretical problem that faced by governors who are the operator of macro-economy adjustment in our country. To these problems, the thesis has determined this program, which is "The Comparative Analysis of Volatility Period between Security Market and China Macroeconomic in China".The thesis has reviewed the history of studying on the volatility period of security market and China macroeconomic at first. Effective market hypothesis, divided-shape market hypothesis, etc offered theoretical supports to studying on the fluctuation of securities market and macroeconomic. The evolving quantitative analysis model offered an experiential research tool for studying on the fluctuation of securities market and macroeconomic. The scholars that study on the volatility period of security market and macroeconomic offered the thinking clue and the analytical platform for my thesis.The preface has introduced the background of the research, meaning, research methods and research process, and has briefly introduced the content and the structure of the thesis, data source, analyzing period and data processing software. This paper has removed linear trends and correlation of China securities market data and macroeconomic indicators-GDP through HP-Filtration and autoregressive moving erage (ARMA model), then study non-period cycle by means of nonlinear method R/S, analyzing the convergence and betrayal of China securities market and macroeconomic and the specific reasons for this situation through research China securities market and macroeconomic cycle.The chapter 1 has reviewed the literature of the volatility period of security market and macroeconomic, and has briefly introduced the modeling models used in the thesis. The relationship between stock market volatility and macroeconomic volatility has been an important topic in financial and economic research and a hot issue. For the discussion of the relationship between macroeconomic and financial market volatility, we should trace the source of the controversial issue the role of finance for the real economy, the discussion on this issue, the answer western scholars got from different perspectives and research methods was not unanimous, which can be divided into "negative" and "positive" viewpoints. "Negative" as Robinson regards financial development as a passive enterprise expansion pack, instead, "positive" think we can’t fully deny financial role in economic growth without a full understanding of economic growth. R/S analysis is a time series analysis method proposed by Hurst to analyze long-term memory and non-period cycle, as R/S analysis is more adept at testing the cycle or non-period cycle of nonlinear data, it is necessary to use time series analysis methods to remove serial correlation and linear trend items first and test non-period cycle again, we should remove linear trend and linear correlation by means of HP-Filtration and ARMA model, test the stability of residual through ADF test. We discuss the linear causal relationship between the macroeconomic variables and stock index by the way of bivariate Granger causality test, and to observe the impact of each other, which is a basis of reference variable sequences in the Co-integration test. This paper examined the long-term stability relationship between macroeconomic and securities market and the impact between long-term balance and short-term fluctuation by Johansen co-integration test model and error correction model.The chapter 2 is main part of this thesis,testing the volatility period dissimilation between security market and China macroeconomic, we analyzed the relationship of volatility between China security market and China macroeconomic based on non-period cycle by means of HP-Filtration, ARMA model ,and R/S analysis , Granger causality test, VECM model. We found that the fluctuation of securities market of our country presents the downward trend, Kitchin Cycles in China macroeconomic were changing into Juglar Cycles, the erage length of China macroeconomic is longer than that of China security market with 3 times. Moreover, both of them, the H indexes are more than 0.5, which means that they both he persistence of state. The security market is easier to reverse than macroeconomic because of its aller H index. Third, in terms of the relationship between securities market and macroeconomic, our VECM model shows that the positive correlation between stock index and Consumer Price Index, M2, the negative correlation between security market index and Revenue, Interest rate from a long-term relationship, and stock index is affected by the volatility of itself, financial expenses, GDP, investment in fixed assets, rate, consumer price index, M2, revenue, deposit rate from a short-term relationship.In chapter 3, concentration on the differences of fluctuation cycle forming mechani between China stock securities and China macroeconomic. China macroeconomic fluctuation cycle is the results of the balance of aggregate supply and aggregate demand under the government’s macroeconomic control policy. China securities market fluctuation cycle is affected by it’s own situation, investment and financial policies of the government, the structural problems deep-seated in securities market system. the question reflected in the fluctuation of securities market of our country is complicated, and it is the results of many kinds of factors acted on together, because the development of securities market is unripe, especially in the building time, the fluctuation of securities market reflects a great deal of questions involving the rule of law, government action, market structure, market service system, etc. It is necessary that analyze how to solve the problems existed in China’s securities market, but the train of thought and the action should based on national condition, should be compatible with the coordinately developing goal of China’s securities market, should promote China’s securities market to develop healthily and continuously. In the aspect of the laws and regulations of market system, we should perfect the existing legal system constantly, not only fill in the blank which makes it adopt to new change, but also make it he operating nature that can turn the principle into concrete yardstick. The relevant laws and regulations should be in harmony at the same time, can’t conflict each other. It should keep the legislation staying in leading position, should use the succesul experience on the international ripe market for reference, so that we can meet and prevent new problems. It is the duty of the government that adjusting and supervising securities market. The government should continuously implement centralized-supervision, perfect the supervising organization system. The government must standardize its own behior, making clear the goal, considering synthetically, and dealing with problems cautiously. It is necessary that establish the correct idea of government behior, administer the state according to law, and give play to the self-discipline organization. It should continuously perfect legal person governance structure and the mechani of supervision and management in listed company, perfect the system of modern enterprise, develop the organization investor greatly, standardize investor’s behior, try to open stock index future on the variety of trade, and perfect market system. We should keeping on developing the business of the securities service, and standardize securities accountant team and securities analyst team.
论文关键词： ARMA模型；R/S分析；非周期循环；VECM模型；
Abstract（英文摘要）：www.328tibEt.cn As the most important part of the capital market of our country, the security market of our country is developed with the establishment of the market economic system of our country, thus it also carried the brand of planned economic system inevitably. The major reason is the drawback of the relevant theory of the security market at the beginning of its establishment, and the market establishes and develops under the system of sociali market economy. Our country is now being in the tranormation course from planned economic system to market economic system. The marketing level of national economy isn’t very high. The security market of our country grew up under this background as the burgeoning capital market. The security market is the highly marketing place, so there is inevitably a close relationship between macroscopic economic operation and the security market. How to develop the security market and promote it coordinate with macro-economy under the lowly marketing level of macro-economy, is the important theoretical problem that faced by governors who are the operator of macro-economy adjustment in our country. To these problems, the thesis has determined this program, which is "The Comparative Analysis of Volatility Period between Security Market and China Macroeconomic in China".The thesis has reviewed the history of studying on the volatility period of security market and China macroeconomic at first. Effective market hypothesis, divided-shape market hypothesis, etc offered theoretical supports to studying on the fluctuation of securities market and macroeconomic. The evolving quantitative analysis model offered an experiential research tool for studying on the fluctuation of securities market and macroeconomic. The scholars that study on the volatility period of security market and macroeconomic offered the thinking clue and the analytical platform for my thesis.The preface has introduced the background of the research, meaning, research methods and research process, and has briefly introduced the content and the structure of the thesis, data source, analyzing period and data processing software. This paper has removed linear trends and correlation of China securities market data and macroeconomic indicators-GDP through HP-Filtration and autoregressive moving erage (ARMA model), then study non-period cycle by means of nonlinear method R/S, analyzing the convergence and betrayal of China securities market and macroeconomic and the specific reasons for this situation through research China securities market and macroeconomic cycle.The chapter 1 has reviewed the literature of the volatility period of security market and macroeconomic, and has briefly introduced the modeling models used in the thesis. The relationship between stock market volatility and macroeconomic volatility has been an important topic in financial and economic research and a hot issue. For the discussion of the relationship between macroeconomic and financial market volatility, we should trace the source of the controversial issue the role of finance for the real economy, the discussion on this issue, the answer western scholars got from different perspectives and research methods was not unanimous, which can be divided into "negative" and "positive" viewpoints. "Negative" as Robinson regards financial development as a passive enterprise expansion pack, instead, "positive" think we can’t fully deny financial role in economic growth without a full understanding of economic growth. R/S analysis is a time series analysis method proposed by Hurst to analyze long-term memory and non-period cycle, as R/S analysis is more adept at testing the cycle or non-period cycle of nonlinear data, it is necessary to use time series analysis methods to remove serial correlation and linear trend items first and test non-period cycle again, we should remove linear trend and linear correlation by means of HP-Filtration and ARMA model, test the stability of residual through ADF test. We discuss the linear causal relationship between the macroeconomic variables and stock index by the way of bivariate Granger causality test, and to observe the impact of each other, which is a basis of reference variable sequences in the Co-integration test. This paper examined the long-term stability relationship between macroeconomic and securities market and the impact between long-term balance and short-term fluctuation by Johansen co-integration test model and error correction model.The chapter 2 is main part of this thesis,testing the volatility period dissimilation between security market and China macroeconomic, we analyzed the relationship of volatility between China security market and China macroeconomic based on non-period cycle by means of HP-Filtration, ARMA model ,and R/S analysis , Granger causality test, VECM model. We found that the fluctuation of securities market of our country presents the downward trend, Kitchin Cycles in China macroeconomic were changing into Juglar Cycles, the erage length of China macroeconomic is longer than that of China security market with 3 times. Moreover, both of them, the H indexes are more than 0.5, which means that they both he persistence of state. The security market is easier to reverse than macroeconomic because of its aller H index. Third, in terms of the relationship between securities market and macroeconomic, our VECM model shows that the positive correlation between stock index and Consumer Price Index, M2, the negative correlation between security market index and Revenue, Interest rate from a long-term relationship, and stock index is affected by the volatility of itself, financial expenses, GDP, investment in fixed assets, rate, consumer price index, M2, revenue, deposit rate from a short-term relationship.In chapter 3, concentration on the differences of fluctuation cycle forming mechani between China stock securities and China macroeconomic. China macroeconomic fluctuation cycle is the results of the balance of aggregate supply and aggregate demand under the government’s macroeconomic control policy. China securities market fluctuation cycle is affected by it’s own situation, investment and financial policies of the government, the structural problems deep-seated in securities market system. the question reflected in the fluctuation of securities market of our country is complicated, and it is the results of many kinds of factors acted on together, because the development of securities market is unripe, especially in the building time, the fluctuation of securities market reflects a great deal of questions involving the rule of law, government action, market structure, market service system, etc. It is necessary that analyze how to solve the problems existed in China’s securities market, but the train of thought and the action should based on national condition, should be compatible with the coordinately developing goal of China’s securities market, should promote China’s securities market to develop healthily and continuously. In the aspect of the laws and regulations of market system, we should perfect the existing legal system constantly, not only fill in the blank which makes it adopt to new change, but also make it he operating nature that can turn the principle into concrete yardstick. The relevant laws and regulations should be in harmony at the same time, can’t conflict each other. It should keep the legislation staying in leading position, should use the succesul experience on the international ripe market for reference, so that we can meet and prevent new problems. It is the duty of the government that adjusting and supervising securities market. The government should continuously implement centralized-supervision, perfect the supervising organization system. The government must standardize its own behior, making clear the goal, considering synthetically, and dealing with problems cautiously. It is necessary that establish the correct idea of government behior, administer the state according to law, and give play to the self-discipline organization. It should continuously perfect legal person governance structure and the mechani of supervision and management in listed company, perfect the system of modern enterprise, develop the organization investor greatly, standardize investor’s behior, try to open stock index future on the variety of trade, and perfect market system. We should keeping on developing the business of the securities service, and standardize securities accountant team and securities analyst team.
论文关键词： ARMA模型；R/S分析；非周期循环；VECM模型；