總體經濟因素與中國股市關連性之探討

Abstract

摘要 近年來由於中國大陸經濟成長快速,造成市場過熱之虞.中國政府在2004及2006實施宏觀調控,以期在利率,產業投資,及房地產供需的控制之下,使被炒作的市場趨於平穩. 本實證研究以中國大陸上海深圳兩大證券交易所中的綜合股價指數與A股,B股股價指數作為實證模型的依變數, 另以消費者物價指數,貨幣供給,匯率,出口貿易總量為自變數.研究期間為2000年1月至2008年1月,研究資料為月資料,取自台灣經濟新報資料庫.在刪除資料遺漏值與離散值後,總共取得九十六筆有效樣本,採用迴歸分析對樣本資料予以分析. 實證結果如下: 一. 本迴歸模型導入之總體經濟因素,包括消費者物價指數,貨幣供給,匯率,出口貿易總量, 在上海綜合股價指數,上海A股股價, 深圳綜合以及A股,皆有顯著相關影響,整體迴歸模型也具有良好的解釋能力. 二. 匯率因素在上海B股和深圳B股的原始迴歸中,不具有顯著性.但在去除宏觀調控年份之資料後,在深圳B股達到顯著. 三. 2004年之宏觀調控對此迴歸模型較有顯著影響.

Abstract Recent years, the China economic is vast growing, worried that the overheated market may result in recession. The Chinese government used macro control measure to stabilize the market. This empirical study applies the Synthesis Index, A Stock Index and B Stock Index of Shanghai and Shenzhen stock exchange as the dependent variables in the empirical model; consumer price index, money supply, foreign exchange rate, and export amount as the independent variables. Research period is from January, 2000 to January 2008, using monthly data gathered from Taiwan Economic Journal Database. The empirical results based on 96 samples are as follows: 1. The macro-economic factors applied in this regression model, including consumer price, money supply, foreign exchange rate, growth rate of export are significant in the regression of Shanghai Synthesis Index, Shanghai A Stock Index, Shenzhen Synthesis Index and Shenzhen A Stock Index, the predictive power of these regression model is also high. 2. The variable of exchange rate is not significant in the original regression of Shanghai B Stock and Shenzhen B Stock. However, by deleting the data from the year of macro control, exchange rate achieves the significant level of 5% in the regression of Shenzhen B Stock. 3. Compare the significant impact of the macro control in 2004 and 2006, the former one is significant in terms of this regression model due to the selection of independent variables.