股票价格与上市公司业绩的关联分析——对中国证券市场的研究

选取净资产收益率和每股收益指标代表上市公司的业绩。上海综合指数和深圳成份指数作为股票价格表征，运用时间序列分析方法。在对各序列特征进行全面分析的基础上，重点对股票价格与上市公司业绩两者之间的变动关系进行了研究。研究发现：①股票价格与上市公司业绩变化之间不存在长期均衡关系。说明股票价格不反应上市公司业绩；②沪市指数和深市指数之间存在长期均衡关系。并且沪市指数是深市指数的Granger成因；③沪市上市公司净资产收益率和深市上市公司净资产收益率之间存在长期均衡关系．不论是从长期还是短期来看两者都呈同向变化关系。

Does the stock price reflect the performance of the listed companies? A study of the stock market of China

The relationship of the stock price and the performance of the listed companies and some of the related problems are studied in this paper,using the method the time series analysis by selecting ROE and EPS as the indices of the performance of the listed companies,while the SHSE composite index and SZSE Comp.Subindex as the proxies of the stock price.The results show that(1) there is no long equilibrium relation between the stock price and the performances of the listed companies,that means the movements of the former doesn't reflect that of the latter,(2) there exists a long equilibrium(relation) between the SZSE index and SHSE index,and the latter is the Granger cause of the former,and(3) there is a long equilibrium relation between ROE of the listed companies in both markets,and both of the long and short relations are(positive.)