|本期目录/Table of Contents|

[1]张 鑫 徐璋勇.中国股票市场财富效应的实证研究——基于2003—2009年季度数据的分析[J].西安石油大学学报(社会科学版),2011,01:28-34.
 ZHANG Xin,XU Zhangyong.An Empirical Research on the Wealth Effect of China Stock Market—Based on the Analysis of Quarter Data from 2003 to 2009[J].,2011,01:28-34.
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中国股票市场财富效应的实证研究——基于2003—2009年季度数据的分析()

《西安石油大学学报(社会科学版)》[ISSN:1008-5645/CN:61-1350/C]

期数:
2011年01期
页码:
28-34
栏目:
经济学
出版日期:
2011-02-15

文章信息/Info

Title:
An Empirical Research on the Wealth Effect of China Stock Market
—Based on the Analysis of Quarter Data from 2003 to 2009
作者:
张  鑫  徐璋勇
西北大学 中国西部经济发展研究中心,陕西 西安 710127
Author(s):
ZHANG Xin XU Zhangyong
The Research Center of China Western Economic Development, Northwest University, Xi’an, Shaanxi, 710127, China
关键词:
股票价格 财富效应 持久收入假说
Keywords:
stock prices wealth effect hypothesis of absolute income
分类号:
-
DOI:
-
文献标识码:
A
摘要:
在总结国内外学者选用变量的基础上,加入测度消费者信心的变量,利用持久收入假说构建回归模型,对各个非平稳时间序列进行协整分析,并进行格兰杰因果检验,以确定长期中各变量之间的相互关系和影响程度,最后采用ECM模型考察股票价格与消费变动之间的短期调整状况。结果表明,现阶段中国股票市场财富效应已经初步显现,但影响力度比较微弱。
Abstract:
Based on the summary of variables chosen by foreign and domestic scholars, this paper adds a new variable to measure confidence of consumer and builds up the regression model by the use of the hypothesis of absolute income. Meanwhile, co-integration and Granger causality test of each non-stationary time series are carried out in order to determine the long-term relationship between variables and the degree of its influence. Finally, ECM model is adopted in investigating the short-term adjustment status between stock prices and consumption changes. It is concluded that at present stage China wealth effects have began to emerge, but intensity of influence is very weak.

参考文献/References

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备注/Memo

备注/Memo:
收稿日期:2010-05-27
作者简介:张鑫,女,陕西西安人,西北大学中国西部经济发展研究中心金融学研究生,研究方向:金融发展理论与政策。
更新日期/Last Update: 2012-02-01