宏观经济变量与道琼斯中国海外50指数之间关系的计量分析
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摘要
在国家的经济增长进程中，由于资本的流动性最强，资本的形成和投资往往被视为经济增长的重要因素和推动力。发展中国家拥有一定的自然资源和劳动力，但这些生产要素能否充分发挥作用，取决于资本这种能够结合各种因素的联合机数量的多少。国内企业海外上市融资，有效利用国际资本是建设现代化国家的一种可行的方式。我国企业海外上市近年来不断升温，与此同时，关于国内企业大量赴海外上市的利弊之争也成为业内的热议话题。
本文正是基于此背景下形成的。本文认为海外上市的企业的股价变化受上市地的宏观经济因素影响，从而通过企业在国内的再投资而影响国内经济。企业海外上市虽然可以解决企业内部的很多问题，对国内的经济发展也有一定的影响。但在越来越多的企业海外上市现象背后，潜在的问题和风险不容忽视。国内海外上市的企业占国内的经济份额越来越大，海外股市的这种“晴雨表”功能将会随着海外上市企业的逐渐增多不断得以强化，那么国内的宏观经济变量就将随海外上市企业的上市地的宏观经济的变化而变化，导致国内的资本市场易受国际不稳定因素的冲击，从而使国内的宏观调控得不到应有的效果，这种情况将威胁到国内的经济安全。本文以海外上市公司的股价(道琼斯中国海外50指数)与国内宏观经济变量为研究对象，用实证分析来说明大量企业海外上市是否将强化海外股市的“晴雨表”功能，从而威胁国家的经济安全、影响国内经济的稳定运行。
本文在结构上共分四个部分，分别对有关问题进行研究分析。各个部分的主要内容和观点如下所述。
第一章是导言，主要包括本文问题的提出、选题意义及创新点，简单介绍了国内学者对国内企业大量海外上市的主要观点和中国海外上市企业的概况以及本文选用的代表我国海外上市企业总体价格波动的道琼斯中国海外50指数。
第二章和第三章是本文的主体部分。第二章从理论和理论模型上分析了50指数与国内宏观经济变量是否有关。从这一章对托宾“q”理论、套利定价理论(APT模型)、资产定价模型、总需求模型以及布兰查德模型的分析可以得出大量企业海外上市会加强海外股市的“晴雨表”功能，导致国内经济安全易受国际不稳定因素冲击的结论。第三章是从实证的角度对道琼斯中国海外50指数与国内宏观经济变量的关系进行的研究。首先对本文的实证方法进行了介绍。由于不能通过现有理论确定自变量和因变量建立经验性的方程，因此本文中建立向量自回归模型(VAR model)来解决这一问题。在这里，介绍了此模型的一般表示方法、因果关系检验、脉冲响应函数和方差分解分析以及协整和误差修正模型。第二节主要说明本文的变量选取和数据来源及处理。第三节根据第一节的实证方法对本文选取的变量和数据进行了实证分析。从实证分析中可以看出，道琼斯中国海外50指数对国内宏观经济变量(特别是国内生产总值)有一定的影响(国内生产总值对道琼斯中国海外50指数的冲击响应很显著，道琼斯中国海外50指数对国内生产总值的波动有20％的贡献率)，反之却没有显著的影响。
第四章是本文的结论部分。通过第二章和第三章的分析，由于海外上市的国内企业的价格变化受上市地宏观经济因素的影响以及它对国内生产总值的影响，可以得出海外股市的“晴雨表”功能正在随着海外上市企业的逐渐增多不断强化，国内企业海外上市地的宏观经济波动将影响到国内。为了减少威胁国内经济安全的因素，我国应加快发展本土市场，减少大量企业海外上市，开辟海外上市企业回归通道，让海外上市企业尽快回归国内资本市场。
In the process of a country's economic growth, the capital forming and investment sometimes be seen the essential factor and impetus for it's the strongest fluidness. The developing country holds a lot of nature resource and labor force. But these produce elements can or can not react enough lie on how much of the capital. The state-owned enterprises go abroad and come into the stock markets for financing, which is the feasible mode to utilizing the international capital and building modern country. Along with more and more state-owned enterprises go abroad, it has become a hot focus that it is advantageous or disadvantageous.
This paper has been written out basing on this background. The variance of the state-owned enterprises stock price goes abroad will be impacted by which they coming into the stock market local macroeconomic factors. And they influence the domestic economy via their reinvestment to homeland. The state-owned enterprises go abroad and come into the stock markets can settle some their inner problems, and influence the domestic economy. However potential problems and risk will be not ignored on the back of the phenomenon. Along with the number of the state-owned enterprises going abroad increasing, the 'weatherglass' function of abroad stock market will be strengthened. So the variance of domestic macroeconomic variables will be changed by that of the abroad. That will lead the domestic capital market be imposed by the international precarious factors easily and imperil the domestic economy security. Comprehensive the DJChina overseas 50 price index and domestic macroeconomic variables are taken as study object in this paper. Put it to explain if the 'weatherglass' function of abroad stock market will be strengthened by a large numbers of state-owned enterprises going abroad. Consequently that will threaten security and affect the stabilization coursing of the domestic economy.
There are four parts in the structure of this paper and anglicize the every part respectively. The central content and point of the every part depict as follows.
The first chapter is introduction. That include putting forward the problem of this paper, the meaning of choosing this topic and innovation point. And introduce briefly the master point about a large numbers of state-owned enterprises going abroad of domestic academician. Furthermore introduce the DJChina abroad 50 which represent the variance of the state-owned enterprises stock price going abroad.
The second and the third chapters are the principal part of this paper. The second chapter analyze if the DJChina overseas 50 price index and domestic macroeconomic variables correlate each other from the theory and theory model. In this chapter analyze the Tobin 'q' theory, APT model, CAPM, Aggregate demand model and Blanchard model. That can conclude the 'weatherglass' function of abroad stock market will be strengthened by a large numbers of state-owned enterprises going abroad and that will affect the stabilization coursing of the domestic economy. In the third chapter, analyze the relation from empirical perspective which the DJChina overseas 50 price index and domestic macroeconomic variables. Introduce the empirical method in this paper. Set up VAR(Vector Autoregression) model to settle this problem due to confirm the independent and dependent variable from the present theory. And explain the common representation, Granger Causality Test, Impulse Response Function, Variance Decomposition analysis Co integration and ECM -Error Correction Model. The second section mainly illuminates the variables selecting and the data source in this paper. The third section analyzes the choosing variables and data making use of the empirical perspective in the first ones. From the empirical analysis we can conclude domestic macroeconomic variables -especially GDP-have some impact to the DJChina overseas 50 price index. -GDP has the remarkable response to one standar4d deviation innovation of the DJChina overseas 50 and the latter have 20% contribution ration to the fluctuation of the former. However have not remarkable impact contrarily.
The last chapter is the conclusion part of this paper. From the analysis of the second and the third chapters, we can conclude the variance of the state-owned enterprises stock price goes abroad will be impacted by which they coming into the stock market local macroeconomic factors and they influence the domestic economy. So the 'weatherglass' function of stock market abroad will be strengthened by a large numbers of state-owned enterprises going abroad and the variance of domestic macroeconomic variables will be changed by that of the abroad. We must develop the native capital market fleetly; reduce the number of the state-owned enterprises going abroad; inaugurate the regression passage of the state-owned enterprises going abroad and come into the native capital market.
本文正是基于此背景下形成的。本文认为海外上市的企业的股价变化受上市地的宏观经济因素影响，从而通过企业在国内的再投资而影响国内经济。企业海外上市虽然可以解决企业内部的很多问题，对国内的经济发展也有一定的影响。但在越来越多的企业海外上市现象背后，潜在的问题和风险不容忽视。国内海外上市的企业占国内的经济份额越来越大，海外股市的这种“晴雨表”功能将会随着海外上市企业的逐渐增多不断得以强化，那么国内的宏观经济变量就将随海外上市企业的上市地的宏观经济的变化而变化，导致国内的资本市场易受国际不稳定因素的冲击，从而使国内的宏观调控得不到应有的效果，这种情况将威胁到国内的经济安全。本文以海外上市公司的股价(道琼斯中国海外50指数)与国内宏观经济变量为研究对象，用实证分析来说明大量企业海外上市是否将强化海外股市的“晴雨表”功能，从而威胁国家的经济安全、影响国内经济的稳定运行。
本文在结构上共分四个部分，分别对有关问题进行研究分析。各个部分的主要内容和观点如下所述。
第一章是导言，主要包括本文问题的提出、选题意义及创新点，简单介绍了国内学者对国内企业大量海外上市的主要观点和中国海外上市企业的概况以及本文选用的代表我国海外上市企业总体价格波动的道琼斯中国海外50指数。
第二章和第三章是本文的主体部分。第二章从理论和理论模型上分析了50指数与国内宏观经济变量是否有关。从这一章对托宾“q”理论、套利定价理论(APT模型)、资产定价模型、总需求模型以及布兰查德模型的分析可以得出大量企业海外上市会加强海外股市的“晴雨表”功能，导致国内经济安全易受国际不稳定因素冲击的结论。第三章是从实证的角度对道琼斯中国海外50指数与国内宏观经济变量的关系进行的研究。首先对本文的实证方法进行了介绍。由于不能通过现有理论确定自变量和因变量建立经验性的方程，因此本文中建立向量自回归模型(VAR model)来解决这一问题。在这里，介绍了此模型的一般表示方法、因果关系检验、脉冲响应函数和方差分解分析以及协整和误差修正模型。第二节主要说明本文的变量选取和数据来源及处理。第三节根据第一节的实证方法对本文选取的变量和数据进行了实证分析。从实证分析中可以看出，道琼斯中国海外50指数对国内宏观经济变量(特别是国内生产总值)有一定的影响(国内生产总值对道琼斯中国海外50指数的冲击响应很显著，道琼斯中国海外50指数对国内生产总值的波动有20％的贡献率)，反之却没有显著的影响。
第四章是本文的结论部分。通过第二章和第三章的分析，由于海外上市的国内企业的价格变化受上市地宏观经济因素的影响以及它对国内生产总值的影响，可以得出海外股市的“晴雨表”功能正在随着海外上市企业的逐渐增多不断强化，国内企业海外上市地的宏观经济波动将影响到国内。为了减少威胁国内经济安全的因素，我国应加快发展本土市场，减少大量企业海外上市，开辟海外上市企业回归通道，让海外上市企业尽快回归国内资本市场。
In the process of a country's economic growth, the capital forming and investment sometimes be seen the essential factor and impetus for it's the strongest fluidness. The developing country holds a lot of nature resource and labor force. But these produce elements can or can not react enough lie on how much of the capital. The state-owned enterprises go abroad and come into the stock markets for financing, which is the feasible mode to utilizing the international capital and building modern country. Along with more and more state-owned enterprises go abroad, it has become a hot focus that it is advantageous or disadvantageous.
This paper has been written out basing on this background. The variance of the state-owned enterprises stock price goes abroad will be impacted by which they coming into the stock market local macroeconomic factors. And they influence the domestic economy via their reinvestment to homeland. The state-owned enterprises go abroad and come into the stock markets can settle some their inner problems, and influence the domestic economy. However potential problems and risk will be not ignored on the back of the phenomenon. Along with the number of the state-owned enterprises going abroad increasing, the 'weatherglass' function of abroad stock market will be strengthened. So the variance of domestic macroeconomic variables will be changed by that of the abroad. That will lead the domestic capital market be imposed by the international precarious factors easily and imperil the domestic economy security. Comprehensive the DJChina overseas 50 price index and domestic macroeconomic variables are taken as study object in this paper. Put it to explain if the 'weatherglass' function of abroad stock market will be strengthened by a large numbers of state-owned enterprises going abroad. Consequently that will threaten security and affect the stabilization coursing of the domestic economy.
There are four parts in the structure of this paper and anglicize the every part respectively. The central content and point of the every part depict as follows.
The first chapter is introduction. That include putting forward the problem of this paper, the meaning of choosing this topic and innovation point. And introduce briefly the master point about a large numbers of state-owned enterprises going abroad of domestic academician. Furthermore introduce the DJChina abroad 50 which represent the variance of the state-owned enterprises stock price going abroad.
The second and the third chapters are the principal part of this paper. The second chapter analyze if the DJChina overseas 50 price index and domestic macroeconomic variables correlate each other from the theory and theory model. In this chapter analyze the Tobin 'q' theory, APT model, CAPM, Aggregate demand model and Blanchard model. That can conclude the 'weatherglass' function of abroad stock market will be strengthened by a large numbers of state-owned enterprises going abroad and that will affect the stabilization coursing of the domestic economy. In the third chapter, analyze the relation from empirical perspective which the DJChina overseas 50 price index and domestic macroeconomic variables. Introduce the empirical method in this paper. Set up VAR(Vector Autoregression) model to settle this problem due to confirm the independent and dependent variable from the present theory. And explain the common representation, Granger Causality Test, Impulse Response Function, Variance Decomposition analysis Co integration and ECM -Error Correction Model. The second section mainly illuminates the variables selecting and the data source in this paper. The third section analyzes the choosing variables and data making use of the empirical perspective in the first ones. From the empirical analysis we can conclude domestic macroeconomic variables -especially GDP-have some impact to the DJChina overseas 50 price index. -GDP has the remarkable response to one standar4d deviation innovation of the DJChina overseas 50 and the latter have 20% contribution ration to the fluctuation of the former. However have not remarkable impact contrarily.
The last chapter is the conclusion part of this paper. From the analysis of the second and the third chapters, we can conclude the variance of the state-owned enterprises stock price goes abroad will be impacted by which they coming into the stock market local macroeconomic factors and they influence the domestic economy. So the 'weatherglass' function of stock market abroad will be strengthened by a large numbers of state-owned enterprises going abroad and the variance of domestic macroeconomic variables will be changed by that of the abroad. We must develop the native capital market fleetly; reduce the number of the state-owned enterprises going abroad; inaugurate the regression passage of the state-owned enterprises going abroad and come into the native capital market.
引文
[1] 选自《中国资本市场存在“外包”吗?》(易宪容) 互联网周刊2005(3)68-70
[2] 选自《中国企业海外上市是金融改革的动力》(巴曙松) 证券日报2006．3．4
[3] 选自《业界激辩海外上市“马太效应”》(莫菲费雪喻) 21世纪经济报道 2004．6．23
[4] 选自《海外上市有利国企发展》(李荣融) 证券日报2006．3．19
[5] 选自《海外上市，为中国企业把脉》(方竣罗文吉) 国际融资2003(4)37-39
[6] 选自《境外上市与企业国际化》(王凤荣) 聊城大学学报(社会科学版)2004(2)110-113
[7] 选自《焦点之争“国企海外上市的利与弊”》(田静雯)香港传媒网2006．4
[8] 选自清华大学中国经济研究中心金融政策小组的《关注资本市场的外包现象》中国证券报2005．2．18
[9] 选自《中国资本市场“拉美化”之忧》(赵明勋) 国际金融研究2005(6)46—51
[10][11] 选自《业界激辩海外上市“马太效应”》(莫菲费雪喻) 21世纪经济报道 2004．6．23
[12] 选自《中国企业海外上市趋势及风险分析》(新华) 国际商报2006．3．1
[13] 选自《2006年中国企业海外上市八大特点》(李嘉焱陶长高) 国际融资2007(1)48—50
[14] 道琼斯中国海外50指数的概念、编制规则及数据均来自于www.djindexes.com
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[2] 选自《中国企业海外上市是金融改革的动力》(巴曙松) 证券日报2006．3．4
[3] 选自《业界激辩海外上市“马太效应”》(莫菲费雪喻) 21世纪经济报道 2004．6．23
[4] 选自《海外上市有利国企发展》(李荣融) 证券日报2006．3．19
[5] 选自《海外上市，为中国企业把脉》(方竣罗文吉) 国际融资2003(4)37-39
[6] 选自《境外上市与企业国际化》(王凤荣) 聊城大学学报(社会科学版)2004(2)110-113
[7] 选自《焦点之争“国企海外上市的利与弊”》(田静雯)香港传媒网2006．4
[8] 选自清华大学中国经济研究中心金融政策小组的《关注资本市场的外包现象》中国证券报2005．2．18
[9] 选自《中国资本市场“拉美化”之忧》(赵明勋) 国际金融研究2005(6)46—51
[10][11] 选自《业界激辩海外上市“马太效应”》(莫菲费雪喻) 21世纪经济报道 2004．6．23
[12] 选自《中国企业海外上市趋势及风险分析》(新华) 国际商报2006．3．1
[13] 选自《2006年中国企业海外上市八大特点》(李嘉焱陶长高) 国际融资2007(1)48—50
[14] 道琼斯中国海外50指数的概念、编制规则及数据均来自于www.djindexes.com
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