我国货币政策对股票市场影响的实证研究.doc

摘要 我国股票市场在经历了2001年至2005年的四年熊市之后，随后两年出现空前的大牛市，股票市值增加近六倍。然而2008年半年间股票市值又跌去大半。面对这跌宕起伏的股票市场，投资者不知所措。与此同时，许多学者也从各个角度对我国股票市场大幅波动异常的原因进行了分析。随着我国股票市场的迅速发展和不断完善，股票市场已经成为重要的融资渠道，越来越多的居民将资金投向股市，股票在居民资产结构中的比例持续增加，股票价格与实际经济活动之间的联系日益紧密。我国学者和货币政策当局已经在密切关注货币政策与股票市场的相互影响问题。研究我国货币政策对股票市场的影响具有重要的现实意义。 本文主要采取理论研究与实证研究相结合的方式研究货币供应量与股票价格指数有关的理论体系、长短期互动关系、因果关系和相互影响运动，采用最新的数据和比较成熟的计量模型,将不同层次货币供应量与上证综合股指作为代表变量纳入金融系统，应用ADF单位根检验、协整检验及向量误差修正模型(VECM)等金融计量方法对不同层次货币供应量与上证综合股票价格指数之间的相互影响进行实证分析。最后对实证研究结果进行总结，提出针对性的建议。 关键词: 货币供应量；股价指数；货币政策；股票市场 Abstract From 2001 to 2005, China’s stock market experienced a four-year bear market. But from 2005 to 2007, an unprecedented bull market had arose, The stock market capitalization increased by nearly six-fold. After that, in the first six months of 2008, the stock market has fallen more than half. Faced with such ups and downs of the stock market, people didn’t know how to deal with it. Based on various angles, Scholars’ conclusions are different by analyzing the stock market. In this thesis，we mainly study the effect of China’S monetary policy on stock market in the theoretical and empirical way．With the rapid development of China’stock market，the stock market has become all important channel for financing．Moreand more people are involved in the stock market and the relation between the stock prices and real economic activity become more and more close．Chinese government and policies makers have pay close attention to the relationship between the monetary policy and the stock market． The research combines theory with practice in this thesis to study the relevant theoretical system，interaction in short and long-term，causality and mutual influence ability. The latest data and widely used econometric model are used in this thesis, different levels of money supply and the Shanghai Composite index are used as representative variables of the monetary and financial system, financial measures such as ADF unit root test, cointegration test and Vector E