宏觀經(jīng)濟因素對股票市場收益的協(xié)整計量分析
宏觀經(jīng)濟因素對股票市場收益的 協(xié)整計量分析 內容提要 以經(jīng)典宏觀經(jīng)濟和金融理論為框架，應用協(xié)整計量分析，本文分析了代表性宏觀變 量與股市收益率之間的關聯(lián)性，試圖為宏觀對股市的影響提供一個有意義的探索。 宏觀經(jīng)濟和股市的關聯(lián)一直是個困擾經(jīng)濟學界未解之謎；從 “代表性消費模型”的構建直到今天“股權溢價之謎”也都一直沒能在理論上得到真正的解 決。大量的金融研究者從資產定價模型入手加入宏觀變量因素，計量了宏觀變量對股票 資產的影響，取得了豐富的成果；但在實證中基于資產定價模型的“市場有效性”假說過 于嚴格，從而使宏觀與股市的關聯(lián)在實證過程中的適用性也成了一個“謎”。中國資本市 場是一個新興的市場，也是一個有著明顯制度轉型特征的市場，市場的有效性更弱，宏 觀變量對股市的影響也是有限的。然而，隨著近年來機構投資人的增加，資本市場化進 程的加快，以及資本市場 “有效性” 的加強，對宏觀變量與股市關聯(lián)的研究開始顯現(xiàn)其實際意義了。本文以資產定價模型為 基礎，構造了一個實證體系，從總體上利用協(xié)整模型對宏觀變量和股票市場資產的收益 性進行了關聯(lián)研究，并得出“不穩(wěn)定”和有限影響的基本結論；進一步，本文深入到宏觀 變量對行業(yè)與上市公司績效影響的微觀層面，分析得出了很多符合經(jīng)濟學假說的結論， 為中國宏觀變量與股票收益是否關聯(lián)這一“謎題”提供了實證的探索和理論的解釋。 基于中國股票市場弱有效性的特征，本文除了在傳統(tǒng)意義上研究了宏觀經(jīng)濟與股市 收益率之間的直接關系外，更進一步將宏觀經(jīng)濟與股市收益率之間的兩個傳導環(huán)節(jié)——宏 觀經(jīng)濟對行業(yè)和上市公司微觀績效的影響以及上市公司微觀績效對股市收益率的影響—— 隔離開來，并集中分析了前一個環(huán)節(jié)的作用機制和傳導效率，從而使本文的研究有別于 前人的成果。 本文利用協(xié)整方法對中國宏觀變量與股市收益之間的關聯(lián)性進行了實證研究，得出 了很多有意義的結論：1、宏觀對股市收益影響的有限性和不穩(wěn)定性。除GDP外，其他各 項宏觀經(jīng)濟指標（M2、利率和通貨膨脹率）與股市收益率之間的相關性均通不過協(xié)整檢 驗；只有GDP與股市收益率在95%置信區(qū)間下顯著正相關——對應GDP增長率1個百分點的上 升，股市收益率上升0.1個百分點；但該協(xié)整關系在滯后2期以后就消失了，顯示在整個 樣本期內（1996年初到2004年第三季度）GDP對股市的長期影響并不穩(wěn)定，模型可能發(fā)生 了結構性變化，從一個角度探索了市場的有效性不足。2、宏觀變量與上市公司基本面的 數(shù)量擴張正相關。本文的實證結果顯示上市公司總體的收益規(guī)模（主營業(yè)務收入增長率 ）與GDP增長率之間存在著顯著的正相關關系（99%置信區(qū)間）。進一步，通過細化研究 GDP增長率對各產業(yè)群收入增長的影響，文章發(fā)現(xiàn)，GDP總量增長的好處在各產業(yè)群之間 的分享程度是不同的：上游基礎工業(yè)，如石油、石化、有色金屬和鋼鐵等行業(yè)對GDP增長 的敏感度均大于1；而出口型產業(yè)和房地產業(yè)的敏感度在0.7～0.8之間；基礎設施類產業(yè) 和農業(yè)的敏感度為0.4；相反，消費類產業(yè)對GDP總量增長不敏感（對人均收入的增長敏 感）。但由于消費類產業(yè)在上市公司中所占的比例很大，接近60%，大于其在國民經(jīng)濟中 所占的比重，因此，對應GDP增長率1個百分點的上升，上市公司主營業(yè)務收入增長率上 升幅度小于1（0.76個百分點）。3、宏觀變量與上市公司基本面的質量改善在產業(yè)群層 面顯著正相關。盡管在上市公司整體層面上，本文的實證研究顯示找不到一個宏觀變量 能夠對微觀個體的收益質量產生顯著影響；但在具體產業(yè)群上，本文卻發(fā)現(xiàn)了不同宏觀 變量與不同產業(yè)群在收益質量上的顯著相關性。不過這種相關性主要體現(xiàn)為宏觀變量對 毛利潤率的影響，而與ROE之間的相關性不顯著——這再次證明了我國投資推動型的經(jīng)濟增 長模式。 綜上，本文利用協(xié)整模型對中國股市和宏觀經(jīng)濟變量進行了實證分析，結果表明中 國股市的成熟度依然較低，市場有效性較弱，但微觀層面的傳遞有效性較強?？傊?，整 體市場與宏觀變量的關聯(lián)性仍不盡人意，但相信隨著市場化改革深入，中國股票市場將 逐步走向有效，宏觀對股票的影響也將成為影響股市收益和風險的重要因素，從而在宏 觀與微觀、符號與實體之間建立一種有效的邏輯對應。只有這樣，中國的資本市場才能 服務好經(jīng)濟建設，同時分享中國經(jīng)濟的高速增長！ ABSTRACT In this paper we analyze relationships among selected macroeconomic variables and Chinese stock market basing on the classical financial researching frame, by employing a cointegration Analysis model, try to offer a meaningful grope for the macroscopic affection on the stock market. The correlation between macro-economy and the stock market has been a mystery for years. Since the construction of the Representative Agent Model, the Equity Premium Puzzle has not been solved theoretically. To explain this puzzle many financial researchers add the macroeconomic factors to the capital asset pricing models to calculate the influence of macro variables on the stock assets. The results are affluent. However, the Efficient Market Hypothesis of the capital asset pricing models are too strong in practice, which creates a new puzzle on the application of the correlation between macro-economy and the stock market to the empirical work. As an emerging market with the evident characters of a transition period, the China capital market is weakly efficient and the influence of the macro variables is also limited. Along with the incremental proportion of the institutional investors, the accelerated progress of the marketing reform and the strengthening efficiency of the capital market, the researching work on the puzzle of the correlation between the macro variables and the Chinese stock market has become more and more instructive. In fact, according to this paper, the cointegrated analysis of the correlation between the macro variables and the stock market derives the conclusion that the influence of the macro variables to the stock market is limited and unstable. However, the intensive analysis of the correlations between the macro variables and the micro performance of the industries and companies derived many conclusions consistent with the economic theories. With these two analyses together, the paper constructed an empirical frame for the current study as well as for the further grope on this puzzle. Besides the traditional research on the direct correlation between macro variables and stock market, the paper separated the transmission system into two steps, the impact of the macro variables to the micro performance of real industries and the impact of the micro performance to the stock returns. By focusing on the efficiency of the first step, the paper makes itself distinct with the predecessors. By using the cointegration analysis to study the correlation between macro variables and stock market, the paper has drawn some significant conclusions. 1. The limited and unstable influence of macro-economy on stock market. Except GDP, the correlation between stock market and other macro variables, including M2, interest rates and inflation rate, cannot pass the cointegration test. Only the GDP growth direct correlates with the stock market return under a 95% confidential interval, a 1% increase in GDP growth leading to a 0.1% increase in stock market return. However, such a relationship will vanish after two terms lag, which shows an unstable relationship between the two variables. In other words, during the sample period (from Q1 1996 to Q3 2004), the model may have changed for some reasons, which implies the weak efficiency of the market. 2. The significant correlations between macro variables and the scale expansion of the listing companies. According to the metric analysis of this paper, taking all the listing companies as a whole, there is a significant positive correlation between the revenue growth and the GDP growth (under a 99% confidential interval). Furthermore, the sub studies show that for different industrial groups, the interest share of GDP growth is different: the upstream heavy industries, such as oil, petrochemicals, steel and non- ferrous metal industries, with a sensitivity larger than 1, benefit most from the GDP growth; the export industries and the real estate builders with a sensitivity of about 0.7 take the second place; the infrastructure industries and the agricultural companies, a sensitivity of 0.4, share less; while consuming industrial groups, not sensitive to the gross growth, are sensitive to the per head growth in income. Since the consuming companies play an important role in the stock market, with a proportion of 60% to the total listing companies, lager than the proportion of the consuming industries to the total domestic economy, the listing companies as a whole is not quite sensitive to the GDP growth, a sensitivity of 0.76. 3. The significant correlations between macro variables and the profitability of the listing companies on the industrial layer. Although taking the listing companies as a whole, the author failed to find any significant impacts of the macro variables on the micro profitability, the impacts on the specific industrial groups are significant. However such impacts are reflected more in the form of the gross profit ratios, but still insignificant in the form of ROE, again, implying the investment activities as the major engine for the economic growth in China. In summary, by using the cointegration analysis, the paper studied the correlation between the macro variables and the stock market. The empirical results show that the Chinese stock market is still an immature market, with a low efficiency. However, contrary to the unsatisfactory correlation between the macro-economy and the index return in stock market, the performance of micro-economy is strong, In the future, along with the market reformation, the Chinese stock market is sure to be more efficient. 目 錄 1導言：宏觀經(jīng)濟因素和股市的關聯(lián)之“謎” 7 2宏觀經(jīng)濟對股市收益影響的理論和協(xié)整分析 8 2.1 宏觀經(jīng)濟對微觀績效的傳遞理論 8 2.2 協(xié)整方法和變量選擇 10 2.3 宏觀對股指收益的影響 11 2．3．1變量的單位根檢驗 13 2．3．2協(xié)整檢驗 14 2．3．3方差分解 16 3上市公司基本面與宏觀經(jīng)濟變量 17 3．1 變量選取 17 3. 2 數(shù)據(jù)處理 17 3．3 實證結果 18 3．3．1收益規(guī)模指標與GDP增長率 18 3．3．2收益質量指標與GDP增長率 20 3．3．3收益質量指標與其他宏觀經(jīng)濟變量 20 4產業(yè)群業(yè)績變動與宏觀經(jīng)濟變量 21 4．1 產業(yè)群劃分 21 4．2 變量選取 21 4．3 實證結果...
宏觀經(jīng)濟因素對股票市場收益的協(xié)整計量分析