中国股市的经济晴雨表作用——基于热最优路径法的动态分析

虚拟经济与实体经济之间有着密切的联系.股票市场作为虚拟经济的重要组成部分,其运行周期与宏观经济有着密不可分的联系,但这种关系往往是多因素的非线性关系,很难用传统的计量方法来确证.本文采用并发展了金融物理学中的热最优路径法,研究了我国股指与GDP之间的动态领先滞后关系.结果表明,在2002年之前,上证指数与GDP之间不存在显著的领先滞后关系;而在2002年后,上证指数领先于GDP的关系日渐显现,大约领先两个季度左右;在2006年以后,上证指数领先于GDP的关系更加明显,说明我国股市已初现"经济晴雨表"的作用.

Economy barometer analysis of China Stock Market:A dynamic analysis based on the thermal optimal path method

The real economy is closely related to the fictitious economy.The dynamics of stock market and economy interact with each other since the stock market is an important part of the fictitious economy.The relationship between stock market and macro-economy is nonlinear and dynamic,which is hard to quantify using conventional econometric tools.In this paper,the thermal optimal path method borrowed from Econophysics is adopted and improved to investigate the dynamic lead-lag structure between Shanghai Stock Exchange Composite(SSEC) index and the GDP of China.No lead-lag structure between SSEC and GDP is detected before 2002.In contrast,the SSEC is found to lead the GDP by about two quarters after 2002 at the significance level of 5%,which is validated by a two-sided bootstrap statistical test.The findings indicate that the Chinese stock market has been gradually acting as the barometer of the economy since 2002.