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波动性是股票市场最本质的特征,股市波动的原因是复杂的。本文研究了宏观经济因素与股市波动之间的关联性,用VAR模型的方法,尝试从新的角度研究宏观经济对股市波动性的影响。最终得出以下结论:股市受自身波动影响显著,其次是通货膨胀预期;上证A股指数与公司盈利、无风险利率、股市风险溢价存在弱式的长期均衡。
Volatility is the most essential feature of the stock market, the reason for the volatility of the stock market is complex. This paper studies the relationship between macroeconomic factors and stock market volatility, and uses the VAR model to try to study the macroeconomic impact on the stock market volatility from a new perspective. Finally, the following conclusions are drawn: the stock market is significantly affected by its own volatility, followed by inflation expectations; there is a weak long-run equilibrium between the SSE A-share index and corporate profits, risk-free rates and stock market risk premiums.