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本文选取1991年8月至2010年7月一级市场实际募集资金、上证指数及深成指的月度数据作为样本,运用向量自回归(VAR)模型、格兰杰因果关系检验、脉冲响应分析及方差分解方法分析股市波动与股市募资的关系,实证分析表明:股市波动是股市募资的原因,其中深成指对股市募资的影响较大;股市募资对股市波动短期有强劲的响应,在长期趋于稳定;股价指数和股市募资存在长期均衡关系。并且在定量分析和定性分析相结合的基础上给出相应的对策建议。
This paper selects monthly data of the actual raised funds in the first stage of the market from August 1991 to July 2010, the Shanghai Composite Index and the Shenzhen Component Index as samples, and uses vector regression model (VAR), Granger causality test, impulse response analysis Variance decomposition method to analyze the relationship between stock market volatility and fund-raising, the empirical analysis shows that: the stock market volatility is the reason for stock market fund-raising, of which the Shenzhen Component Index greater impact on fund-raising; stock market fund-raising on the stock market volatility has a strong short-term response , Stabilizing in the long term; there is a long-term equilibrium relationship between stock index and fundraising. And based on the combination of quantitative analysis and qualitative analysis, the countermeasures and suggestions are given.