股市发展与经济增长关系统计研究
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摘要
随着股份制经济改革由试点转为规范发展，并成为经济体制改革的一个核心，股票市场也获得了很大的发展，在我国经济建设和国有企业改革中做出了突出贡献。但是，股票市场中也存在许多问题，特别是近年来，股市与经济走势之间出现了明显的背离，未能反映经济不断向好的趋势，有关股市发展与经济增长的关系逐渐成为一个研究热点。本文正是在这种背景下，展开对我国股市与经济增长关系研究的。
论文首先概括了国内外关于股市发展与经济增长关系的研究成果，并进行评述，认为股票市场的发展对经济增长具有积极影响。但具体到我国，应充分考虑股市发展所处的经济环境和为国企改革定位的特点。接下来，论文以马加尔·帕加诺的内生经济增长模型的简单形式和改进形式为基础，从理论上分析了股市发展对经济增长促进作用的机理，以及经济增长的动态演化行为。
然后，论文总结了股市发展十多年来对我国经济增长的贡献，对我国经济增长和股市发展中的地域及产业的非均衡性进行了分析，并以此为基础采用合成数据模型和多元回归方法进行实证研究，发现我国股市在促进经济增长方面存在明显的地域差异；同时，股票市场对我国整体经济增长具有显著的促进作用，对第二产业的作用更为突出。
最后，论文考察了我国股市周期与经济周期的运行情况，根据股市走势分四个阶段，采用协整检验和格兰杰因果检验方法实证分析了我国股市与经济运行之间的长期均衡关系和互动性。发现在其中三个阶段股市与经济运行存在长期均衡关系，股市周期受经济景气的影响，同时也影响着经济的运行；2001年第二季度后股市的下跌并非是对经济走势的背离，而是对经济增长过程中不合理之处的直接反映。
In China, as with the development of the share-holding ownership economy, the stock market has made great progress, and it has helped a lot on fund-raising and the reform of the state-owned enterprises. But there also exist some problems in the stock market, especially in recent years, the stock market doesn't affected by the economic growth, which becomes one of the important viewpoints of the economy research fields. It is under such environment that the thesis analyses the relationship between the stock market and the economic growth.
Firstly, the thesis summarized the domestic and international research accomplishment about the economic growth and the development of the stock market, concluding that the development of stock market has positive influence on economic growth. When it comes to the study of economy growth and the stock market of our country, we should consider that the main goal of the stock market of our country is to help the reform of the state-owned enterprises. Then based on the theory of endogenous economic growth, the thesis analyses the mechanism that the development of the stock market promotes the economic growth.
Secondly, the thesis analyses the contributions of the stock market made in China for more than 10 years and the relationship between the economic growth and the stock market in region and the industry with panel-data and the multivariate regression method. It is proved that the stock market does much progress to the economic growth especially to the secondary industry.
Thirdly, the thesis analyses the co-movement of the economic growth the stock market using co-integration and Granger test and draws the conclusion that there are long relationship between the economic growth and the stock market in three of the four stages, the stock and the economic growth affects each other And it points out that after 2001, the deviation of the economic growth and the stock market is the effect of the unreasonable growth of the economy.
论文首先概括了国内外关于股市发展与经济增长关系的研究成果，并进行评述，认为股票市场的发展对经济增长具有积极影响。但具体到我国，应充分考虑股市发展所处的经济环境和为国企改革定位的特点。接下来，论文以马加尔·帕加诺的内生经济增长模型的简单形式和改进形式为基础，从理论上分析了股市发展对经济增长促进作用的机理，以及经济增长的动态演化行为。
然后，论文总结了股市发展十多年来对我国经济增长的贡献，对我国经济增长和股市发展中的地域及产业的非均衡性进行了分析，并以此为基础采用合成数据模型和多元回归方法进行实证研究，发现我国股市在促进经济增长方面存在明显的地域差异；同时，股票市场对我国整体经济增长具有显著的促进作用，对第二产业的作用更为突出。
最后，论文考察了我国股市周期与经济周期的运行情况，根据股市走势分四个阶段，采用协整检验和格兰杰因果检验方法实证分析了我国股市与经济运行之间的长期均衡关系和互动性。发现在其中三个阶段股市与经济运行存在长期均衡关系，股市周期受经济景气的影响，同时也影响着经济的运行；2001年第二季度后股市的下跌并非是对经济走势的背离，而是对经济增长过程中不合理之处的直接反映。
In China, as with the development of the share-holding ownership economy, the stock market has made great progress, and it has helped a lot on fund-raising and the reform of the state-owned enterprises. But there also exist some problems in the stock market, especially in recent years, the stock market doesn't affected by the economic growth, which becomes one of the important viewpoints of the economy research fields. It is under such environment that the thesis analyses the relationship between the stock market and the economic growth.
Firstly, the thesis summarized the domestic and international research accomplishment about the economic growth and the development of the stock market, concluding that the development of stock market has positive influence on economic growth. When it comes to the study of economy growth and the stock market of our country, we should consider that the main goal of the stock market of our country is to help the reform of the state-owned enterprises. Then based on the theory of endogenous economic growth, the thesis analyses the mechanism that the development of the stock market promotes the economic growth.
Secondly, the thesis analyses the contributions of the stock market made in China for more than 10 years and the relationship between the economic growth and the stock market in region and the industry with panel-data and the multivariate regression method. It is proved that the stock market does much progress to the economic growth especially to the secondary industry.
Thirdly, the thesis analyses the co-movement of the economic growth the stock market using co-integration and Granger test and draws the conclusion that there are long relationship between the economic growth and the stock market in three of the four stages, the stock and the economic growth affects each other And it points out that after 2001, the deviation of the economic growth and the stock market is the effect of the unreasonable growth of the economy.
引文
[1] 陈浩武．体制转轨时期的资本市场．第一版．北京：经济科学出版社，1998，138-149
[2] 袁志刚，宋铮．高级宏观经济学．第一版．上海：复旦大学出版社，2001，461-513
[3] R．索罗．经济增长论文集．北京：北京经济学院出版社，1989
[4] Pagno M. Financial Markets and Growth: an Overview. European Economic Review, 1993(37): 613-632
[5] Romer David. Advanced Macroeconomics. Mcgram-Hill Companies, 1996
[6] Lucas R E.On the Mechanics of Economics Development. Journal of Monetary Economics, 1998(22): 3-42
[7] Markowitz. Portfolio Selection: Efficient Diversification of Investment. Yale University Press, New Haven, 1959
[8] W.ESharpe. Capitals Asset Prices: A Theory of Market Equilibrium Under Condition of Risk. Journal of Finance, 1964(19): 425-442
[9] F.Black and M.Scholes. The Capital Asset pricing Model: Some Empirical Tests in Jensen and Studies in the Theory of Capital Markets, New York: Prager, 1972
[10] Bencivenga,Valerie R.,Bruce D.Smith.Financial Intermediation and Endogenous Growth.Review of Economic Studies, 1991(2,April): 195-209
[11] Saint-Paul, Gilles. Technological Choice, Financial Markets, and Economic Developent. European Economic Review,1992(5):763-781
[12] Devereux.Michael B,Smith.Gregor W.International Risk Sharing and Economic Growth.International Economic Review, 1994(3):535-550
[13] Obstfeld,Maurice. RiskTaking, Global Diversification, and Growth. American Economic Review, 1996(5): 119-146
[14] Stiglitz, Joseph E.Credit Markets and the Control of Capital.Jaurnal of Money, Credit and Banking, 1985, Vol(17):133-152
[15] Grossman, Samford.J and Stiglitz. J.E. On the Impossibility of Informationally Efficient Markets. American Economic Review, 1980(70): 393-408
[16] Holmstrom, Tirole. Market Liquidity and Performance Monitoring. Journal of Political Economy, 1993(4): 678-709
[17] Demirguc-Kunt, Asli and Ross Levine. Stock Market, Corporate Finance, and
Economic Growth: An Overview. The World Bank Economic Review, 1996(100): 223-239
[18] Stiglitz. Explaining Growth: Competition and Finance, International differences in growth rates. Market globalization and economic areas, 1994:169-225
[19] Divid Scharfstein, Robert Gertner, Robert Gibbons. Simultaneous Signalling to the Capital and Product Markets. Journal of Economics, 1988(2): 173-190
[20] Laffont J J, Tirole J.Repeated Auctions of Incentive Contracts, Investment and Bidding Parity with an Application to Takeovers. Working Paper 675, California Institute of Technology, Division of the Humanity and Social Sciences, 1988
[21] Stijn Claessens, Susmita Dasgupta, Jack Glen. The Cross-Section of Stock Return: Evidence from Emerging Markets. Working Paper-Domestic Finance, Saving, Finacial Systems, Stock Markets, 1505, World Bank, 1995
[22] Fama E F. Stock Returns, Real Activity, Inflation, and Money. American Economic Review, 1981(71): 545-565
[23] Ross Levine, Sara Zeros. Stock Markets, Banks, and Economic Growth. American Economic Review, 1996(71): 537-555
[24] Murinde Victor. Financial Markets and Endogenous Growth, in Hermes, Niels, and Lensink, Robert ed. Financial Development and Economic, 1996(8): 547-549
[25] Arestis P, Demetriades. Financial Development and Economic Growth Assessing the Evidence. Economic Journal, 1997(107): 783-799
[26] Richard Harris. Stock Market and Development: A Reassessment. European Economic Review, 1997, Vol(41): 139-146
[27] Colin. Maryer. New Issues in Corporate Finance. European Economic Review, 1998(32): 116-188
[28] Fama E F.Stock Return, Expected Return and Activity. Journal of Finance, 1990 (4): 1089-1108
[29] Dale L Domian, David A Louton. A Threshold Autoregressive Analysis of Stock Returns and Real Economic Activity. International Review of Economies and Finance, 1997(2): 167-179
[30] Eve Liljeblom, Marianne Stenius. Macroeconomic Volatility and Stock Market Volatility: Empirical Evidence on Finnish Data. Applied Financial Economies, 1997(7): 419-426
[31] Kwon C S., T S Shin, F W Bacon. The Effects of Macroeconomic Variables on Stock Market Returns of Developing Markets. Multinational Business Review,
1997(52)：63-70
[32] 何飞，杨洪涛．中国股票市场功能探析．价格月刊，1998(4)：21-24
[33] 周正庆．证券市场在推动改革和经济建设中规范发展．投资与证券，2000
[34] 林义相．证券市场的第三次制度创新与国有企业改革．经济研究，1999
[35] 林海清．我国股票市场发展的成就与问题．社会科学家，1999(增刊)：145-149
[36] 金鹏，易法敏．论我国股票市场的融资功能．常德师范学院学报，1999(9)：
[37] 王铮．中国股票市场的功能定位．徐州师范学院学报(社科版)，1996(3)：
[38] 余游．股票市场与经济发展和增长．经济问题探索，1997(12)：31-32
[39] 周业安．金融抑制对中国企业融资能力影响的实证研究．经济研究，1999
[40] 谈儒勇．中国金融发展和经济增长关系的实证研究．经济研究，1999(10)：
[41] 郑江淮，袁国良，胡志乾．中国转型期股票市场发展与经济增长关系的实证研究．管理世界，2000(6)：15-24
[42] 唐齐鸣，李春涛．股票收益与货币政策的关系研究．统计研究，2000(12)：
[43] 殷醒民，谢洁．中国股票市场与经济增长关系的实证研究．复旦学报(社会科学版)，2001(4)：45-51
[44] 李晓慧．股票市场与经济运行均衡发展新论．第一版．北京：经济科学出版社，2001
[45] 韩延春．金融发展与经济增长：基于中国的实证分析．经济科学，2001(3)：
[46] 张胜，郭军，陈金贤．我国省际长期经济增长绝对收敛的实证分析——“富省愈富穷省愈穷”型的省际增长差异的分析．世界经济，2001(6)：55-57
[47] 武剑．储蓄、投资和经济增长——中国资金供求的动态分析．经济研究，1999(10)：32-38
[48] 埃贡．纽伯格．比较经济体制——决策角度进行的比较．第一版．北京：商务印书馆，1985
[49] 刘鸿儒．中国融资体制变革与股票市场的地位．金融研究，1998，(8)：7-15
[50] 林毅夫，蔡昉，李周．中国经济转型时期的地区差距分析．经济研究，1998(6)：15-21
[51] 陈亮．上市公司经济实力与区域经济环境相关分析．经济研究，1999(9)：16-22
[52] 王兰军．股票市场功能演进与经济结构调整研究．北京：中国金融出版社，2003，125-146
[53] 张晓峒．计量经济学软件EViews使用指南．第一版．天津：南开大学出版社，2003：203-210
[54] 许涤龙，王珂英．上海股市有效性与可预测性并存的实证研究．经济问题，2001(11)：2-4
[55] 吴世农．上海股票市场效率的分析与评价．投资研究，1996(8)：6-10
[56] 贺强．股市背离GDP——中国宏观经济与证券市场趋势评析．中国证券市场周刊，2002-11-13
[57] 叶青，易丹辉．中国股票市场价格波动与经济波动．预测，1999(6)：7-29
[58] 宾国强．实际利率、金融深化与中国的经济增长．经济研究，1999(3)：25-31
[59] 伞锋．让股价跟上宏观经济发展步伐．经济参考报，2003-2-26
[2] 袁志刚，宋铮．高级宏观经济学．第一版．上海：复旦大学出版社，2001，461-513
[3] R．索罗．经济增长论文集．北京：北京经济学院出版社，1989
[4] Pagno M. Financial Markets and Growth: an Overview. European Economic Review, 1993(37): 613-632
[5] Romer David. Advanced Macroeconomics. Mcgram-Hill Companies, 1996
[6] Lucas R E.On the Mechanics of Economics Development. Journal of Monetary Economics, 1998(22): 3-42
[7] Markowitz. Portfolio Selection: Efficient Diversification of Investment. Yale University Press, New Haven, 1959
[8] W.ESharpe. Capitals Asset Prices: A Theory of Market Equilibrium Under Condition of Risk. Journal of Finance, 1964(19): 425-442
[9] F.Black and M.Scholes. The Capital Asset pricing Model: Some Empirical Tests in Jensen and Studies in the Theory of Capital Markets, New York: Prager, 1972
[10] Bencivenga,Valerie R.,Bruce D.Smith.Financial Intermediation and Endogenous Growth.Review of Economic Studies, 1991(2,April): 195-209
[11] Saint-Paul, Gilles. Technological Choice, Financial Markets, and Economic Developent. European Economic Review,1992(5):763-781
[12] Devereux.Michael B,Smith.Gregor W.International Risk Sharing and Economic Growth.International Economic Review, 1994(3):535-550
[13] Obstfeld,Maurice. RiskTaking, Global Diversification, and Growth. American Economic Review, 1996(5): 119-146
[14] Stiglitz, Joseph E.Credit Markets and the Control of Capital.Jaurnal of Money, Credit and Banking, 1985, Vol(17):133-152
[15] Grossman, Samford.J and Stiglitz. J.E. On the Impossibility of Informationally Efficient Markets. American Economic Review, 1980(70): 393-408
[16] Holmstrom, Tirole. Market Liquidity and Performance Monitoring. Journal of Political Economy, 1993(4): 678-709
[17] Demirguc-Kunt, Asli and Ross Levine. Stock Market, Corporate Finance, and
Economic Growth: An Overview. The World Bank Economic Review, 1996(100): 223-239
[18] Stiglitz. Explaining Growth: Competition and Finance, International differences in growth rates. Market globalization and economic areas, 1994:169-225
[19] Divid Scharfstein, Robert Gertner, Robert Gibbons. Simultaneous Signalling to the Capital and Product Markets. Journal of Economics, 1988(2): 173-190
[20] Laffont J J, Tirole J.Repeated Auctions of Incentive Contracts, Investment and Bidding Parity with an Application to Takeovers. Working Paper 675, California Institute of Technology, Division of the Humanity and Social Sciences, 1988
[21] Stijn Claessens, Susmita Dasgupta, Jack Glen. The Cross-Section of Stock Return: Evidence from Emerging Markets. Working Paper-Domestic Finance, Saving, Finacial Systems, Stock Markets, 1505, World Bank, 1995
[22] Fama E F. Stock Returns, Real Activity, Inflation, and Money. American Economic Review, 1981(71): 545-565
[23] Ross Levine, Sara Zeros. Stock Markets, Banks, and Economic Growth. American Economic Review, 1996(71): 537-555
[24] Murinde Victor. Financial Markets and Endogenous Growth, in Hermes, Niels, and Lensink, Robert ed. Financial Development and Economic, 1996(8): 547-549
[25] Arestis P, Demetriades. Financial Development and Economic Growth Assessing the Evidence. Economic Journal, 1997(107): 783-799
[26] Richard Harris. Stock Market and Development: A Reassessment. European Economic Review, 1997, Vol(41): 139-146
[27] Colin. Maryer. New Issues in Corporate Finance. European Economic Review, 1998(32): 116-188
[28] Fama E F.Stock Return, Expected Return and Activity. Journal of Finance, 1990 (4): 1089-1108
[29] Dale L Domian, David A Louton. A Threshold Autoregressive Analysis of Stock Returns and Real Economic Activity. International Review of Economies and Finance, 1997(2): 167-179
[30] Eve Liljeblom, Marianne Stenius. Macroeconomic Volatility and Stock Market Volatility: Empirical Evidence on Finnish Data. Applied Financial Economies, 1997(7): 419-426
[31] Kwon C S., T S Shin, F W Bacon. The Effects of Macroeconomic Variables on Stock Market Returns of Developing Markets. Multinational Business Review,
1997(52)：63-70
[32] 何飞，杨洪涛．中国股票市场功能探析．价格月刊，1998(4)：21-24
[33] 周正庆．证券市场在推动改革和经济建设中规范发展．投资与证券，2000
[34] 林义相．证券市场的第三次制度创新与国有企业改革．经济研究，1999
[35] 林海清．我国股票市场发展的成就与问题．社会科学家，1999(增刊)：145-149
[36] 金鹏，易法敏．论我国股票市场的融资功能．常德师范学院学报，1999(9)：
[37] 王铮．中国股票市场的功能定位．徐州师范学院学报(社科版)，1996(3)：
[38] 余游．股票市场与经济发展和增长．经济问题探索，1997(12)：31-32
[39] 周业安．金融抑制对中国企业融资能力影响的实证研究．经济研究，1999
[40] 谈儒勇．中国金融发展和经济增长关系的实证研究．经济研究，1999(10)：
[41] 郑江淮，袁国良，胡志乾．中国转型期股票市场发展与经济增长关系的实证研究．管理世界，2000(6)：15-24
[42] 唐齐鸣，李春涛．股票收益与货币政策的关系研究．统计研究，2000(12)：
[43] 殷醒民，谢洁．中国股票市场与经济增长关系的实证研究．复旦学报(社会科学版)，2001(4)：45-51
[44] 李晓慧．股票市场与经济运行均衡发展新论．第一版．北京：经济科学出版社，2001
[45] 韩延春．金融发展与经济增长：基于中国的实证分析．经济科学，2001(3)：
[46] 张胜，郭军，陈金贤．我国省际长期经济增长绝对收敛的实证分析——“富省愈富穷省愈穷”型的省际增长差异的分析．世界经济，2001(6)：55-57
[47] 武剑．储蓄、投资和经济增长——中国资金供求的动态分析．经济研究，1999(10)：32-38
[48] 埃贡．纽伯格．比较经济体制——决策角度进行的比较．第一版．北京：商务印书馆，1985
[49] 刘鸿儒．中国融资体制变革与股票市场的地位．金融研究，1998，(8)：7-15
[50] 林毅夫，蔡昉，李周．中国经济转型时期的地区差距分析．经济研究，1998(6)：15-21
[51] 陈亮．上市公司经济实力与区域经济环境相关分析．经济研究，1999(9)：16-22
[52] 王兰军．股票市场功能演进与经济结构调整研究．北京：中国金融出版社，2003，125-146
[53] 张晓峒．计量经济学软件EViews使用指南．第一版．天津：南开大学出版社，2003：203-210
[54] 许涤龙，王珂英．上海股市有效性与可预测性并存的实证研究．经济问题，2001(11)：2-4
[55] 吴世农．上海股票市场效率的分析与评价．投资研究，1996(8)：6-10
[56] 贺强．股市背离GDP——中国宏观经济与证券市场趋势评析．中国证券市场周刊，2002-11-13
[57] 叶青，易丹辉．中国股票市场价格波动与经济波动．预测，1999(6)：7-29
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