| 上证指数与A股市场融资相关性实证分析 |
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| 引用本文： | 刘德红,党敏,李弢. 上证指数与A股市场融资相关性实证分析[J]. 北京交通大学学报(社会科学版), 2011, 10(3): 78-83 |
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| 作者姓名： | 刘德红 党敏 李弢 |
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| 作者单位： | 北京交通大学经济管理学院,北京,100044;北京交通大学经济管理学院,北京,100044;北京交通大学经济管理学院,北京,100044 |
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| 基金项目： | 国家自然科学基金项目(70971009)资助 |
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| 摘 要： | 融资是证券市场首要功能,股票市场的行情同上市公司的融资行为存在着一定的关联：指数处于上涨阶段过程中,有利于上市公司推出较大规模的融资方案;短时间内大规模的融资又使股票市场资金流出太多,从而造成指数下跌,反过来也影响融资的规模。基于现代计量经济理论中的向量自回归模型进行建模分析,得出了两者之间存在着上述关联的结论,创新点是定量地得出两者间相互影响效应的大小。
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| 关 键 词： | 股市融资 上证指数 向量自回归模型 格兰杰因果检验 脉冲响应分析 |
An Empirical Study of the Correlation of SSE Composite and A-share Market Financing |
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| LIU De-hong,DANG Min,LI Tao. An Empirical Study of the Correlation of SSE Composite and A-share Market Financing[J]. Journal of Beijing Jiaotong University Social Sciences Edition, 2011, 10(3): 78-83 |
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| Authors: | LIU De-hong DANG Min LI Tao |
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| Affiliation: | LIU De-hong,DANG Min,LI Tao(School of Economics and Management,Beijing Jiaotong University,Beijing 100044,China) |
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| Abstract: | Financing is the primary function of stock market.As China's security market is still in a developing stage,there is a certain correlation in the stock market quotation with the financing behavior of listed companies.Such cases can be observed in that index up-stage process is conducive to the listed company's enlargement of its financing scale;however,short-time and large-scale financing is likely to cause excessive capital exit and crack down the investors' confidence,resulting in index fall,and in turn a... |
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| Keywords: | stock market financing SSE composite VAR model granger causality test impulse response analysis |
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