股价指数与经济增长之间协整关系的实证分析

自2001以来,中国经济呈现高速增长的趋势,但股票市场作为经济增长晴雨表似乎并没有得到真正反映出来.笔者运用误差修正模型(ECM)对中国股票市场和国民经济之间均衡关系问题进行了研究.结果表明二者之间的均衡关系已经被打破.从预期理论角度对此结论进行原因分析,得出经济主体利益预期的不一致以及由此导致的居民预期利益高度不确定是股票市场与国民经济均衡破坏的主要原因之一.

Empirical Analysis of Linkages Between Stock Exchange Index and Economic growth

By using the co-integration testing and error correction model (ECM), this paper investigates long-run and short-run linkages between stock exchange index and GDP. Through exploring the data from the Chinese economy, the authors get the evidences that suggest the equilibrium between stock exchange index and GDP has been broken. Then based on Expectations Theory, they reveal the reason of the stock market down-going with the increase of GDP. Then on the light of above analysis, some adviec is given.