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1、摘要我國(guó)股票市場(chǎng)在經(jīng)歷了2001年至2005年的四年熊市之后,隨后兩年出現(xiàn)空前的大牛市,股票市值增加近六倍。然而2008年半年間股票市值又跌去大半。面對(duì)這跌宕起伏的股票市場(chǎng),投資者不知所措。與此同時(shí),許多學(xué)者也從各個(gè)角度對(duì)我國(guó)股票市場(chǎng)大幅波動(dòng)異常的原因進(jìn)行了分析。隨著我國(guó)股票市場(chǎng)的迅速發(fā)展和不斷完善,股票市場(chǎng)已經(jīng)成為重要的融資渠道,越來越多的居民將資金投向股市,股票在居民資產(chǎn)結(jié)構(gòu)中的比例持續(xù)增加,股票價(jià)格與實(shí)際經(jīng)濟(jì)活動(dòng)之間的聯(lián)系日益緊密。我國(guó)學(xué)者和貨幣政策當(dāng)局已經(jīng)在密切關(guān)注貨幣政策與股票市場(chǎng)的相互影響問題。
2、研究我國(guó)貨幣政策對(duì)股票市場(chǎng)的影響具有重要的現(xiàn)實(shí)意義。本文主要采取理論研究與實(shí)證研究相結(jié)合的方式研究貨幣供應(yīng)量與股票價(jià)格指數(shù)有關(guān)的理論體系、長(zhǎng)短期互動(dòng)關(guān)系、因果關(guān)系和相互影響運(yùn)動(dòng),采用最新的數(shù)據(jù)和比較成熟的計(jì)量模型,將不同層次貨幣供應(yīng)量與上證綜合股指作為代表變量納入金融系統(tǒng),應(yīng)用ADF單位根檢驗(yàn)、協(xié)整檢驗(yàn)及向量誤差修正模型(VECM)等金融計(jì)量方法對(duì)不同層次貨幣供應(yīng)量與上證綜合股票價(jià)格指數(shù)之間的相互影響進(jìn)行實(shí)證分析。最后對(duì)實(shí)證研究結(jié)果進(jìn)行總結(jié),提出針對(duì)性的建議。關(guān)鍵詞:貨幣供應(yīng)量;股價(jià)指數(shù);貨幣政策;股票市場(chǎng)
3、AbstractFrom2001to2005,China’sstockmarketexperiencedafour-yearbearmarket.Butfrom2005to2007,anunprecedentedbullmarkethadarose,Thestockmarketcapitalizationincreasedbynearlysix-fold.Afterthat,inthefirstsixmonthsof2008,thestockmarkethasfallenmorethanhalf.Faced
4、withsuchupsanddownsofthestockmarket,peopledidn’tknowhowtodealwithit.Basedonvariousangles,Scholars’conclusionsaredifferentbyanalyzingthestockmarket.Inthisthesis,wemainlystudytheeffectofChina’Smonetarypolicyonstockmarketinthetheoreticalandempiricalway.Withth
5、erapiddevelopmentofChina’stockmarket,thestockmarkethasbecomeallimportantchannelforfinancing.Moreandmorepeopleareinvolvedinthestockmarketandtherelationbetweenthestockpricesandrealeconomicactivitybecomemoreandmoreclose.Chinesegovernmentandpoliciesmakershavep
6、aycloseattentiontotherelationshipbetweenthemonetarypolicyandthestockmarket.Theresearchcombinestheorywithpracticeinthisthesistostudytherelevanttheoreticalsystem,interactioninshortandlong-term,causalityandmutualinfluenceability.Thelatestdataandwidelyusedecon
7、ometricmodelareusedinthisthesis,differentlevelsofmoneysupplyandtheShanghaiCompositeindexareusedasrepresentativevariablesofthemonetaryandfinancialsystem,financialmeasuressuchasADFunitroottest,cointegrationtestandVectorErrorCorrectionModel(VECM)areappliedtos
8、tudytheinterrelationshipbetweenmoneysupplyandtheShanghaiCompositepriceindex.Theresultsofpositiveanalysisandtheeconomicsignificancearesummarized,thenspecificproposalsareputforward.KeyWords:MoneySupply;StockPri