| 中国宏观经济与股价之间关系的关联性研究——实证考察宏观经济对股市影响的数量程度 |
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| 引用本文： | 徐国祥,马俊玲.中国宏观经济与股价之间关系的关联性研究——实证考察宏观经济对股市影响的数量程度[J].统计与信息论坛,2006,21(2):5-10,14. |
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| 作者姓名： | 徐国祥 马俊玲 |
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| 作者单位： | 上海财经大学,应用统计研究中心,上海200433 |
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| 基金项目： | 新世纪优秀人才支持计划 |
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| 摘 要： | 一、研究背景如果一国的股票市场完全由供求关系来决定的话,那么股市和实体经济的发展是一致的,一国经济的发展决定着股市的发展,股市的兴衰也直接反映这个国家经济发展的好坏与快慢。在一个成熟的市场经济国家,如美国,其宏观经济与证券市场的长期关系基本是吻合的。宏观经济与
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| 关 键 词： | 主成分分析 Granger因果检验 自回归误差模型 |
| 文章编号： | 1007-3116(2006)02-0005-07 |
| 修稿时间： | 2005年12月27 |
Research on the Relationship Between Macroeconomy and Stock Price in China--Empirical Study on Quantity of Macroeconomic Influence on Stock Market |
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| XU Guo-xiang,MA Jun-ling.Research on the Relationship Between Macroeconomy and Stock Price in China--Empirical Study on Quantity of Macroeconomic Influence on Stock Market[J].Statistics & Information Tribune,2006,21(2):5-10,14. |
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| Authors: | XU Guo-xiang MA Jun-ling |
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| Abstract: | Basing on the quarterly sampling data,this paper does an empirical research on the relationship between macroeconomy and stock market in China by Granger causality test,and finds that macroeconomy has a critical influence to stock market.Moreover,on the basis of that,this paper constructs the first-order autoregression error model to get the quantitative relationship of macroeconomic influence on stock market.Thus,we could get a clear recognition on the relationship between macroeconomy and stock market in China. |
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| Keywords: | principal component analysis Granger causality test autoregression error model |
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