宏观经济信息发布对股票市场收益率及其波动的影响

通过构建宏观信息发布中的未预期信息衡量指标,本文研究了宏观信息对股票市场收益率及其波动的影响.实证分析发现:股票市场指数月收益率具有"通胀对冲"功能,同时PPI、固定投资、货币供给(M2)也会显著影响指数收益率,贸易顺差则与收益率波动显著相关;进一步对股票市场指数日收益率分析发现沪深两市对宏观信息的短期反应并不相同.对上证综指,仅CPI、固定投资与进口同比显著影响指数收益率,而出口同时影响指数收益率及其波动;对于深证成指,市场只对出口信息会作出及时反应.此外,本文还发现危机后股市对宏观信息的反映也出现了显著变化,宏观信息变量中只有PMI和进出口变量显著影响市场收益率,而PPI则成为影响收益率波动的显著因素.

The effect of macroeconomic announcements on stock market return and volatility

This paper studies the impact of fundamental macroeconomic news on stock market return and its volatility by constructing indicators which measure unexpected components of 7 macro announcements series. We find that the monthly returns of stock markets are a hedge against inflation, and PPI, fixed investment, money supply (M2) significantly affect the returns of stock markets, moreover the trade surplus has significant effect on the volatility of stock market returns. We also find daily stock market returns response the macroeconomic announcements differently. For Shanghai stock market, CPI, fixed investment and importation affect the returns of Shanghai Composite Index, and export variable influences both its return and volatility. Shenzhen stock market only has a response to the exportation information. In addition, there are significant structure change in above relationship in the post crisis. Among all macro information variables, only PMI and trade variables strongly affect the market returns, while PPI is significantly related to their volatility.