华东师范大学(哲学社会科学版) ›› 2011, Vol. 43 ›› Issue (3): 129-135.

• 证券投资问题 • 上一篇    下一篇

资金变动对沪深300指数影响的一个实证分析 ——基于2002-2010年的市场数据

叶德磊 艾瑶   

  1. 华东师范大学 商学院，上海200241
  • 收稿日期:1900-01-01 修回日期:1900-01-01 出版日期:2011-05-15 发布日期:2011-07-29
  • 通讯作者: 叶德磊 艾瑶

An Empirical Analysis of the Impact of Capital Changes on SHSE-SZSE 300 Index: Based on Market Data from 2002-2010

Ye De-lei & Ai Yao   

  1. Business School, East China Normal University,200241
  • Received:1900-01-01 Revised:1900-01-01 Online:2011-05-15 Published:2011-07-29
  • Contact: Ye De-lei & Ai Yao

RichHTML

17

被引次数

1

摘要： 通过构建VAR模型，对股市筹资额、广义货币 、上市公司股利分红、交易印花税额与沪深300指数的长期均衡及短期调整关系进行协整检验和误差修正模型分析，发现长期内 与大盘指数呈反向变动关系，其他变量与大盘指数呈同向变动。但是就短期而言，存在某些有别于长期的市场特征。这些实证分析结论与一些市场流行看法是有差异的，甚至是相反的，由此还可以进一步引申出一些有价值的推论和政策建议。

关键词: 沪深300指数, 筹资额, 分红, 印花税

Abstract: Apply the VAR model to the Value of Capital Raising, , dividends of all listed firms, amount of stamp duty collected from stock trading and the SHSE-SZSE 300 Index to analysis the long-term equilibrium relationship and short-term adjustment. Empirical results of Cointegration Test and error correction model demonstrate that in the long run, M2 has negative effect on stock index, while other variables have positive ones. However, in the short run, there exist some market characteristics that are different from those in the long run. These empirical conclusions are not consistent with and even contrary to several prevailing ideas. which consequently further extend some valuable inferences and policy recommendations.

Key words: SHSE-SZSE 300 Index, the Value of Capital Raising, Dividends, Stamp Duty