中国股市与经济增长关系实证研究
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广西师范大学 硕士学位论文 中国股市与经济增长关系实证研究 姓名：王亮 申请学位级别：硕士 专业：国民经济学 指导教师：李敦祥 20060401
中国股市与经济增长关系实证研究
姓名：王亮 导师：李敦祥 专业：国民经济学 年级：2003 研究方向：金融投资与管理 摘要 从 1773 年英国第一家股票交易所成立至今，股市已经有 200 多年的历史。世界经济 开始持续增长与股票交易所的产生几乎同步，这不是偶然的，而是具有必然性的。股份 制和股票交易所是现代企业制度和市场经济制度下的产物，而只有现代化企业制度和市 场经济制度才可能为经济的持续增长提供良好的制度环境。然而我国股市存在的监管制 度不健全；上市公司治理结构不完善；政府干预过多；股市结构不合理等因素，使得我 国股市作用于经济增长的作用机制受阻。以至于人们开始怀疑股市存在的必要。 中国股票市场对经济增长到底有没有推动作用，理论界至今也未能达成共识。本文 将在理论分析的基础上，结合中国的实际经济发展的最新数据，对股市与经济增长的关 系进行实证分析。文章采取了逐步深入的方法，首先结合我国股市建立以来其发展中存 在的特殊情况，将股市发展历程分九个阶段，并对每个阶段中股市的表现进行了详细描 述，且对于不同阶段股市政策的变化以及信息对股市波动的影响进行了梳理。利用指数 收益率这一指标衡量股市波动幅度，发现股市波动过大。针对这一现象文章深入分析了 造成股市特殊波动性的原因，发现股市波动幅度较大主要是股市政策、公开信息、法律 法规、扩容等因素造成。继而分析股市建立以来的经济发展在不同年份的情况。在这段 时间，根据经济发展的周期被分为两个阶段，显然同股市发展的周期并不同步。将股市 与宏观经济发展情况结合起来利用 ADF 检验，结果显示二者都是水平非平稳变量，且都 通过了一阶平稳变量检验，所以利用协整检验来检验股指与 GDP 增长数据之间的长期联 系，发现二者相关关系不明显，然后将二者之间按照不同发展阶段划分后再进行检验， 各时段的数据之间依然不能存在长期的相关关系，即使采取利用滞后一期、二期、三期 的股指数据与 GDP 数据进行检验，二者仍然不存在协整关系。为了深入研究二者间的关 系，文章又对股市与经济增长的整体关系进行实证分析，发现股市的增长与经济增长各 个度量指标之间也是偏离的。但在随后的研究中发现上市公司的资金使用效率普遍高于 非上市公司，这说明从显性的角度来讲股市与经济增长似乎没有太多关系，但是从隐性 的角度来讲股市与经济增长是密切相关的。 为此文章进一步深入从股市对投资需求影响、 股市筹资功能、优化资源配置、股市对储蓄影响、股市财富效应四个角度分析了股市对 经济增长作用机制作用的发挥。文章利用线性回归检验，通过影响股市对投资需求研究 检验了托宾的 q 理论， 我国股票市场与企业投资之间的线性相关性较弱,q 效应并不明显。 通过对股票投资额与二级市场上的价格之间的关系分析发现，不同类型股票二级市场价
II
Empirical Study of Relationship between Chinese Stock Market and Economic Growth Name: wang liang Supvisor：li dun xiang Abstract The stock market has been more than 200 years history since the first British stock exchange was set up in 1773. The international economic began to develop continuously with the appearance of the stock market, which was not accidental but inevitable. Share and stock market are the results of modern enterprise system and market economy system, and only these two systems may bring a good environment for economic development. However, many bad factors weaken the function of stock market on economy development, including the imperfection of regulation system and management of company structure, the intervention from government as well as the irrational structure of stock market. Therefore, people begin to suspect the necessity of the existence of the stock market. People have not agreed on one thing in theory as yet that whether the Chinese stock market can promote the economy development. Basing on the theoretical analysis, in this paper, we will make an analysis of the relation between stock market and economy development in a qualitative way, combining with the latest data of economy development in China. First, we divide the Chinese stock market into nine stages, according to the particular development of the stock market in China. We also make a detailed description of the stock market in each stage as well as the share-policies in different stages and information’s impact on the stock market. We find that the stock market does not change much according to the index yield that shows the range of share waving. Thus, we analyze deeply the reason of the special share waving and then find that the main reason of share waving badly comes from the policy of stock market, the open information, the law and the pervasion etc. Then we analyze the annual economy development since the foundation of the stock market. The stock market can be divided into 2 periods in the same stage in our country on the basis of the periodical analysis of economy development, which is not accordance with the periodical development of the international stock market. We make an ADF test and one order stationary variable test on the stock and macroeconomics, which indicates that neither is the stationary variable. Therefore, we make another test, the Granger Causality Test in order to analyze the long-term relation between the share index and GDP
III
Major：Economics Grade：2003
Direction：Financial investment and management
increasing data. And also the test shows that they have no obvious relationship. Finally we retest their relationship in the different development stages, however, the data still cannot demonstrate their long-term relativity. Even we test on the share index on late one, late 2, late 3 stages and GDP data cannot show that they can promote each other. In order to have a clear understanding of their relationship, we make a qualitative analysis of the unitary relationship of the stock market and the GDP data and we find that the increase of the stock exchange is not consistent with that of each index of economic development. But in the study of efficiency of the allocation of recourses in stock exchange, we learn that the efficiency of the utilization of capital in the listed company is generally higher than that in the unlisted company. The analysis of the relationship of the prices between the share investment capital and the second stock market demonstrates that the price index in the second stock market is relevant with the investment capital. Thus, we cannot simply judge the relation between the stock exchange and economic development. Therefore, we make a further analysis of the function of the stock exchange on the economic development, in four aspects including the impact of stock exchange on the demand of investment, the function of financing in the stock market, the influence of stock market on bank the wealth effect of the stock market. We check up the Tobin’s Q theory through the investiபைடு நூலகம்ation of the investment demand in the stock market with the linear regression test. And we find that the linear relativity of stock market and enterprise investment is not obvious and the q effect is also not clear. The result of the co integration test and granger causality test on the financing function of stock exchange demonstrate that it has 80% possibility that the investment capital in the stock market is not the granger causality and it has 20% possibility that GDP is not the granger causality of the capital from financing in stock market. And this conclusion implies that the financing function of the stock market do not influence the economic as it does theoretically. The relevancy of them apparently results from that the increase of economy promotes successfully the implement of the listed company releasing the new shares and refunding. With the linear regression test, we learn that deposit has little relation with the stock market. And this shows that with the change of the deposit rate, the stock market does not bring into its effect. Finally we test the wealth effect of stock market, using the gray system analysis. It tells us that the simplex stock market system in our country and the irrational investment structure and so on hinder the wealth effect of stock market which weakens the
中国股市与经济增长关系实证研究
姓名：王亮 导师：李敦祥 专业：国民经济学 年级：2003 研究方向：金融投资与管理 摘要 从 1773 年英国第一家股票交易所成立至今，股市已经有 200 多年的历史。世界经济 开始持续增长与股票交易所的产生几乎同步，这不是偶然的，而是具有必然性的。股份 制和股票交易所是现代企业制度和市场经济制度下的产物，而只有现代化企业制度和市 场经济制度才可能为经济的持续增长提供良好的制度环境。然而我国股市存在的监管制 度不健全；上市公司治理结构不完善；政府干预过多；股市结构不合理等因素，使得我 国股市作用于经济增长的作用机制受阻。以至于人们开始怀疑股市存在的必要。 中国股票市场对经济增长到底有没有推动作用，理论界至今也未能达成共识。本文 将在理论分析的基础上，结合中国的实际经济发展的最新数据，对股市与经济增长的关 系进行实证分析。文章采取了逐步深入的方法，首先结合我国股市建立以来其发展中存 在的特殊情况，将股市发展历程分九个阶段，并对每个阶段中股市的表现进行了详细描 述，且对于不同阶段股市政策的变化以及信息对股市波动的影响进行了梳理。利用指数 收益率这一指标衡量股市波动幅度，发现股市波动过大。针对这一现象文章深入分析了 造成股市特殊波动性的原因，发现股市波动幅度较大主要是股市政策、公开信息、法律 法规、扩容等因素造成。继而分析股市建立以来的经济发展在不同年份的情况。在这段 时间，根据经济发展的周期被分为两个阶段，显然同股市发展的周期并不同步。将股市 与宏观经济发展情况结合起来利用 ADF 检验，结果显示二者都是水平非平稳变量，且都 通过了一阶平稳变量检验，所以利用协整检验来检验股指与 GDP 增长数据之间的长期联 系，发现二者相关关系不明显，然后将二者之间按照不同发展阶段划分后再进行检验， 各时段的数据之间依然不能存在长期的相关关系，即使采取利用滞后一期、二期、三期 的股指数据与 GDP 数据进行检验，二者仍然不存在协整关系。为了深入研究二者间的关 系，文章又对股市与经济增长的整体关系进行实证分析，发现股市的增长与经济增长各 个度量指标之间也是偏离的。但在随后的研究中发现上市公司的资金使用效率普遍高于 非上市公司，这说明从显性的角度来讲股市与经济增长似乎没有太多关系，但是从隐性 的角度来讲股市与经济增长是密切相关的。 为此文章进一步深入从股市对投资需求影响、 股市筹资功能、优化资源配置、股市对储蓄影响、股市财富效应四个角度分析了股市对 经济增长作用机制作用的发挥。文章利用线性回归检验，通过影响股市对投资需求研究 检验了托宾的 q 理论， 我国股票市场与企业投资之间的线性相关性较弱,q 效应并不明显。 通过对股票投资额与二级市场上的价格之间的关系分析发现，不同类型股票二级市场价
II
Empirical Study of Relationship between Chinese Stock Market and Economic Growth Name: wang liang Supvisor：li dun xiang Abstract The stock market has been more than 200 years history since the first British stock exchange was set up in 1773. The international economic began to develop continuously with the appearance of the stock market, which was not accidental but inevitable. Share and stock market are the results of modern enterprise system and market economy system, and only these two systems may bring a good environment for economic development. However, many bad factors weaken the function of stock market on economy development, including the imperfection of regulation system and management of company structure, the intervention from government as well as the irrational structure of stock market. Therefore, people begin to suspect the necessity of the existence of the stock market. People have not agreed on one thing in theory as yet that whether the Chinese stock market can promote the economy development. Basing on the theoretical analysis, in this paper, we will make an analysis of the relation between stock market and economy development in a qualitative way, combining with the latest data of economy development in China. First, we divide the Chinese stock market into nine stages, according to the particular development of the stock market in China. We also make a detailed description of the stock market in each stage as well as the share-policies in different stages and information’s impact on the stock market. We find that the stock market does not change much according to the index yield that shows the range of share waving. Thus, we analyze deeply the reason of the special share waving and then find that the main reason of share waving badly comes from the policy of stock market, the open information, the law and the pervasion etc. Then we analyze the annual economy development since the foundation of the stock market. The stock market can be divided into 2 periods in the same stage in our country on the basis of the periodical analysis of economy development, which is not accordance with the periodical development of the international stock market. We make an ADF test and one order stationary variable test on the stock and macroeconomics, which indicates that neither is the stationary variable. Therefore, we make another test, the Granger Causality Test in order to analyze the long-term relation between the share index and GDP
III
Major：Economics Grade：2003
Direction：Financial investment and management
increasing data. And also the test shows that they have no obvious relationship. Finally we retest their relationship in the different development stages, however, the data still cannot demonstrate their long-term relativity. Even we test on the share index on late one, late 2, late 3 stages and GDP data cannot show that they can promote each other. In order to have a clear understanding of their relationship, we make a qualitative analysis of the unitary relationship of the stock market and the GDP data and we find that the increase of the stock exchange is not consistent with that of each index of economic development. But in the study of efficiency of the allocation of recourses in stock exchange, we learn that the efficiency of the utilization of capital in the listed company is generally higher than that in the unlisted company. The analysis of the relationship of the prices between the share investment capital and the second stock market demonstrates that the price index in the second stock market is relevant with the investment capital. Thus, we cannot simply judge the relation between the stock exchange and economic development. Therefore, we make a further analysis of the function of the stock exchange on the economic development, in four aspects including the impact of stock exchange on the demand of investment, the function of financing in the stock market, the influence of stock market on bank the wealth effect of the stock market. We check up the Tobin’s Q theory through the investiபைடு நூலகம்ation of the investment demand in the stock market with the linear regression test. And we find that the linear relativity of stock market and enterprise investment is not obvious and the q effect is also not clear. The result of the co integration test and granger causality test on the financing function of stock exchange demonstrate that it has 80% possibility that the investment capital in the stock market is not the granger causality and it has 20% possibility that GDP is not the granger causality of the capital from financing in stock market. And this conclusion implies that the financing function of the stock market do not influence the economic as it does theoretically. The relevancy of them apparently results from that the increase of economy promotes successfully the implement of the listed company releasing the new shares and refunding. With the linear regression test, we learn that deposit has little relation with the stock market. And this shows that with the change of the deposit rate, the stock market does not bring into its effect. Finally we test the wealth effect of stock market, using the gray system analysis. It tells us that the simplex stock market system in our country and the irrational investment structure and so on hinder the wealth effect of stock market which weakens the
