摘要
一国的宏观经济状况对股市波动起决定作用,利率、汇率和物价水平是主要宏观经济先导指标。为说明我国利率、汇率、通货膨胀与股市波动的关系,通过理论分析并运用HP滤波和门限条件异方差模型(THRESHHOLD ARCH)、相关图等技术进行实证研究,得到了三方面重要结论:通货膨胀预期和即期通货膨胀率对股市收益率影响不一样;利率、汇率和通货膨胀预期都是反向影响股市的长期收益率,股市收益率短期的波动则仅仅受通货膨胀预期与通货膨胀的反向影响,与汇率和利率的变化无关;我国股市有杠杆效应,宏观经济指标的利空消息比利好消息产生更大的波动。
Macro-economy is decided by stock market fluctuations. Interest rates, exchange rates and the price level are the main important macro-economic leading indicators. With the HP filter, threshold arch and Relevant Figure technology used in the empirical research, we obtain three important conclusions. （1） The influence of inflation expectation on stock market return is not the same as the inflation;（2） Interest rates, exchange rates and inflation expectation have reverse influences on the stock market long-term return, and stock market short-term return is reversely influenced only by inflation and inflation expectation; （3） China＇s stock market has leverage effect, and the bad news about macroeconomic leading indicators causes more volatility.
出处
《上海立信会计学院学报》
北大核心
2011年第6期78-87,共10页
Journal of Shanghai Lixin University of Commerce
关键词
利率
汇率
通货膨胀
股市波动
宏观经济
interest rates
exchange rates
inflation
stock market fluctuations
macro-economy
