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本文以上证综合指数为研究对象,选取工业增加值、货币供应量、银行间同业拆借利率、居民消费价格指数等宏观经济变量作为解释变量,采用月度数据,对上证综合指数进行协整分析。分析证明上证综合指数与部分宏观经济变量之间存在协整关系,上证综合指数与货币供应量、同业拆借利率之间长期呈正相关关系,与居民消费价格指数负相关;并且上证综合指数与消费价格指数存在因果关系,与其他变量均不存在因果关系。这意味着我国股票市场虽然可以在一定程度上反映宏观经济的发展情况,但效率不高。
Taking Shanghai Composite Index as the research object, this paper chooses macroeconomic variables such as industrial added value, money supply, interbank lending rate and consumer price index as explanatory variables, and uses monthly data to make a cointegration analysis on the Shanghai Composite Index. The analysis shows that there is a cointegration relationship between the Shanghai Composite Index and some macroeconomic variables. There is a long-term positive correlation between the SSE Composite Index, the money supply and the inter-bank lending rate, which is negatively correlated with the consumer price index. And the SSE composite index and the consumer price There is a causal relationship between the index and other variables are not causal relationship. This means that although China’s stock market can reflect the macroeconomic development to a certain extent, its efficiency is not high.