股票市场有效性及其与实体经济关系的实证研究

杨昀

股票市场有效性及其与实体经济关系的实证研究

引用本文：杨昀.股票市场有效性及其与实体经济关系的实证研究[J].财经理论与实践,2013,(3):64-67

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作者	单位
杨昀	(1.中央财经大学商学院，北京100081 2.贵州财经大学会计学院，贵州贵阳550005)

中文摘要:以股票市场和实体经济作为研究对象，以上证指数和GDP与CPI之间的关系作为研究指标，以2007~2012年季度数据作为时间跨度，通过构建协整方程、误差修正模型和因果关系检验，找出三者之间的长短期关系，发现只存在较为微弱的单项因果关系，股票市场的有效性方面的因果关系并不存在，说明我国股票市场和宏观经济脱节问题较为严重。

中文关键词:股票市场有效性实体经济实证研究

An Empirical Study of the Relationship between the Effectiveness of Stock Market and Economic Conditions

Abstract:The stock market and the real economy is regarded as the object of research, and the Shanghai Composite Index and the relationship between GDP and CPI is taken as research indicators, as the time span 2012 to 2007 quarterly data, by building the cointegration equation, the error correction model and causality, short and long term relationships are identified. It is found that only weak single causal relationship exists, and the causal relationship of the effectiveness of the stock market does not exist, which indicates that China's stock market is coming apart with the economic conditions.

keywords:Stock market Effectiveness Economic conditions Empirical research

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