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| 中国股票市场与经济增长之间关系的实证分析 | |
| 引用本文： | 陈朝旭,耿玉新,赵宇飞. 中国股票市场与经济增长之间关系的实证分析[J]. 大连海事大学学报(社会科学版), 2005, 4(4): 61-64,112 |
| 作者姓名： | 陈朝旭 耿玉新 赵宇飞 |
| 作者单位： | 1. 长春税务学院,公共管理系,吉林,长春,130117;吉林大学,商学院,吉林,长春,130021 2. 吉林大学,商学院,吉林,长春,130021 3. 长春税务学院,工商管理系,吉林,长春,130117 |
| 基金项目： | 长春税务学院校科研和教改项目 |
| 摘 要： | 选取1996年至2004年的月度时间序列数据,利用协整关系检验、Granger因果关系检验和脉冲响应分析,描述和实证检验了中国股票市场与宏观经济之间关系。检验结果表明中国股票市场与实际经济之间存在长期均衡关系,误差修正模型得出短期偏离向长期均衡的校正速度;Granger因果关系检验进一步说明只存在经济增长对股票市场的单向因果关系;动态分析给出了两变量之间交互影响的具体特征描述。 |
| 关 键 词： | 股票市场 经济增长 因果关系 脉冲响应 |
| 文章编号： | 1671-7031(2005)04-0061-04 |
| 修稿时间： | 2005-09-19 |
An empirical study on the relationship between economic growth and stock market in China |
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| CHEN Zhao-xu,GENG Yu-xin,ZHAO Yu-fei. An empirical study on the relationship between economic growth and stock market in China[J]. Journal of Dalian Maritime University:Social Science Edition, 2005, 4(4): 61-64,112 | |
| Authors: | CHEN Zhao-xu GENG Yu-xin ZHAO Yu-fei |
| Abstract: | This paper positively examines the relationship between stock market development and economic growth in China on the monthly serial data from 1996 to 2004 by using the co-integration testing,Granger-causality test and impulse response.The evidences show that there exists a long-run equilibrium between stock market and economic growth,Error Correction Model shows the speed of adjusting short-run bias to long-run equilibrium;Granger-causality test gives further proof that economic growth advance to stock market is unilateral;and dynamic analysis describes the specification of the interaction. |
| Keywords: | stock market economic growth causality relationship impulse response |
| 本文献已被 CNKI 维普 万方数据 等数据库收录！ | |