計量經濟學數據分析

學院：管理與經濟學院

專業：技術經濟及管理

姓名：葛文

學號：20808172

分析中國經濟發展對中國股票市場的影響

本文通過分析2000年到2007年各月股票市場流通市值(value),成交金額

(turnover),GDP現價和居民儲蓄(saving)的相關數據，試圖分析我國經濟發展對

股票市場的影響。數據來源為CCFR數據庫和證監會網站。具體分析如下：

一、繪制四個數據變量的線性圖，查看200()年到2007年他們各自的走勢。

二、采用最小二乘法(0LS)進行分析

DependentVariable:GDP

Method:LeastSquares

Date:01/11/09Time:23:19

Sample:2000M012007M06

Includedobservations:90

VariableCoefficientStd.Errort-StatisticProb

C10433.48487.992921.380380.0000

TURNOVER0.1912180.04133246264320.0000

R-squared0.195641Meandependentvar11625.15

AdjustedR-squared0.186500S.Ddependentvar4359540

S.E.ofregression3932.053Akaikeinfocriterion19.41368

Sumsquaredresid1.36E+09Schwarzcriterion1946923

Loglikelihood-871.6157F-statistic21.40387

Durbin-Watsonstat0.322622Prob(F-statistic)0.000013

回歸表達式：gdp=10433.48+0.191218*turnover

其中:Prob低于0.05,說明對應系數顯著不為零；R2=0.195641,說明擬合

程度一般；Prob(F-statistic)=0.000013<0.05,說明至少有一個解釋變量的回歸

系數不為零。

-------Residual--------Actual--------Fitted

DependentVariable:GDP

Method:LeastSquares

Date:01/11/09Time:23:47

Sample:2000M012007M06

Includedobservations:90

VariableCoefficientStd.Errort-StatisticProb.

C8470.567893.47159.4805110.0000

VALUE0.1968530.0490474.0135720.0001

R-squared0.154730Meandependentvar11625.15

AdjustedR-squared0.145125SDdependentvar4359540

S.E.ofregression4030.807Akaikeinfocriterion19,46329

Sumsquaredresid143E+09Schwarzcriterion19,51884

Loglikelihood-8738482F-statistic16,10876

Durbin-Watsonstat0.277993Prob(F-statistic)0.000125

回歸表達式：gdp=8470.567+0.196853*value

其中:Prob低于0.05,說明對應系數顯著不為零；R2=().154730,說明擬合

程度一般；Prob(F-statistic)=0.000125<0.05,說明至少有一個解釋變量的回歸

系數不為零。

-------Residual--------Actual--------Fitted

三、格蘭杰因果檢驗

（1）檢驗GDP同流通市值之間的格蘭杰因果關系

PairwiseGrangerCausalityTests

Date:01/12/09Time:13:13

Sample:2000M012007M06

Lags:10

NullHypothesis:ObsF-StatisticProbability

TURNOVERdoesnotGrangerCauseGDP801.083480.38941

GDPdoesnotGrangerCauseTURNOVER2.677050.00904

滯后期為10,P（F>1.08348尸0.38941,P（F>2.67705）=0.00904,所以原假設

"TURNOVER不是GDP變化的原因“被接受，但原假設“GDP不是TURNOVER

變化的原因”被拒絕。

（2）檢驗GDP同成交金額之間的格蘭杰因果關系

PairwiseGrangerCausalityTests

Date:01/12/09Time:13:22

Sample:2000M012007M06

Lags:10

NullHypothesis:ObsF-StatisticProbability

VALUEdoesnotGrangerCauseGDP800.635140.77782

GDPdoesnotGrangerCauseVALUE3.306360.00185

滯后期為10,P(F>0.63514)=0.77782,P(F>3.30636)=0.00185,所以原假設

“VALUE不是GDP變化的原因”被接受，但原假設“GDP不是VALUE變化的

原因”被拒絕。

四、時間序列模型估計

(1)時間序列圖

（2）流通市值的相關圖和偏相關圖

Date:01/12/09Time:13:38

Sample:2000M012007M06

Includedobservations:90

AutocorrelationPartialCorrelationACPACQ-StatProb

i|---------1

i--------1if10.5370.53726.8720.000

20,208-0.11430.9360.000

1]i30.1080.06332.0400000

]?i140.0740.00932.5720.000

-]?i150.0730.03833.0870.000

-]?i160.0720.02133.5940.000

-]?i170.0690.02434.0650.000

-]?i180.0700.02734.5620.000

-]?i190.0720.02535.0900.000

-]?i1100.071002235.6080000

-]?i1110.0670.01936.0820.000

-]?i1120.0670.02336.5630.000

]?i1130.0660.01737.0280.000

-]?i1140.0640.01837.4730.001

-]?11150.0620.01737.9040.001

-]?11160.0600.01538.3100.001

-]?11170.0580.01538.6930.002

?11180.0560.01339.0490.003

-?11190.0540.01339.3850.004

-?11200.0540.01439.7250.005

-i11210.0530.01140.0560.007

-?11220.0510.01140.3700.010

-?11230.0480.00940.6580.013

-?11240.0460.00840.9200.017

由圖可知，流通市值的是平穩序列。

(3)成交金額的相關圖和偏相關圖

Date:01/12/09Time:13:41

Sample:2000M012007M06

Includedobservations:90

AutocorrelationPartialCorrelationACPACQ-StatProb

■i|--------1i____1106980598333170000

i[?20.294-0.100414430.000

1P?I?30.1550.03343.7230.000

?3iiI?40.1060.03144.8100.000

?]???50.088002245.5670.000

?1?i?60.0790.02146.1810.000

i]?i?70.0700.014466710000

i1?i?80.0670.02147.1200.000

?]?i?90.0640.01547.5330.000

?1?i?100.0610.01547.9180.000

?]???110.0580.01348.2670.000

111??1200540.01148,5730000

i1?i?130.0510.01248,8500.000

?1???1400470.00849.0870.000

?1?i?150.0440.01049.3010.000

'11i?160.0420.00849.4940.000

??1700410.01049,6860.000

i??i?180.0410.00949.8790.000

i|ii?190.0400.00850,0670.000

1J1i?200.0420.01250.2710.000

1]1

i?210.0410.00750.4740.000

111??220.0370.00350.6380.000

111i?230.0320.005607680.001

11i?2400280002508670001

由圖可知，成交金額是平穩序列。

(4)GDP與居民儲蓄散點圖

25000-

20000-

Q15000-

0

10000-

5000-

4000080000120000160000200000

SAVING

五、居民儲蓄的單位根ADF檢驗(一階差分)

NullHypothesis:D(SAVING)hasaunitroot

Exogenous:Constant

LagLength:0(AutomaticbasedonSIC,MAXLAG=1)

t-StatisticProb*

AugmentedDickey-Fullerteststatistic-74499840.0000

Testcriticalvalues:1%level-3.506484

5%level-2.894716

10%level-2.584529

,MacKinnon(1996)one-sidedp-values.

AugmentedDickey-FullerTestEquation

DependentVariable:D(SAVING.2)

Method:LeastSquares

Date:01/12/09Time:15:08

Sample(adjusted):2000M032007M06

Includedobservations:88afteradjustments

VariableCoefficientStd.Errort-StatisticProb.

D(SAVING(-1))-0.7834100.105156-74499840.0000

C954.0709207.90904.5888880.0000

R-squared0.392236Meandependentvar-4.073295

AdjustedR-squared0.385169S.D.dependentvar1954.346

SEofregression1532425Akaikeinfocriterion17.52956

Sumsquaredresid2.02E+08Schwarzcriterion17.58586

Loglikelihood-769.3005F-statistic5550227

Durbin-Watsonstat1.943175Prob(F-statistic)0.000000

ADF=-7.449984,為負且絕對值很大，則拒絕單位根假設而表明序列是平穩

的。

六、VAR模型分析與協整檢驗

(1)GDP與流通市值的VAR模型

EstmationProc:

LS12GDPTURNOVER@C

VARModel:

GDP=+C(1,2)?GDP(-2)+C(b3)*TURH0VER(-l>>C(l,4)*TURf?VER(-2)+C(1,6)

TURNOVER=C(2,l)^DP(-l)+C(2,2)^DP(-2)+C(2,3)?TURNOVER(-1)+C(2,4)?TURNOVER(-2)+C(2,5)

VARModel-SubstitutedCoefficients:

GDP=0.6842894606*GDP(-1)+0.215649763*GDP(-2)-0.08318492849*7URK)VER(-1)+0.163325689*TURKOVER(-2)?1006.010579

TURNOYER=0.4958733318*GDPi-l)-0.3167387224?GDP(-2)+1.071222977TURNOVER(-1)-0.006032364298*7UR)?VER(-2)-1956.62832

（2）GDP與成交金額的VAR模型

EstinationProc:

LS12GDPVALUE<hC

VARModel:

GDP=C(l,1)?GDP(-1)+C(l,2)?GDP(-2)+C(l,3)*VALUE(-1)+C(l,4：*VALUE(-2)+C(l,5)

VALUE=C(2,1)*GDP(-1)+C(2,2)?GDP(-2)+C(2,3)-VALUE(-1)+C(2,4)?VALUE(-2)+C(2,5)

VARModel-SubstitutedCoefficients:

GDP=0.7110219984?GDP(-1)+0.!883354456?GDP(-2)+0.07071686018*VALUE(-1)-0.04378092538,VALUE(-2)+918.4687882

VALUE=0.037330747244DP(-1)+0.07611012516*<；DP(-2)+1.433831329*VALUE(-1)-0.4346002215?VALUE(-2)-1028.997998

(3)DGP與成交金額的協整性檢驗

Date:01/12/09Time:15:21

Sample(adjusted):2000M042007M06

Includedobservations:87afteradjustments

Trendassumption:Lineardeterministictrend

Series:GDPVALUE

Lagsinterval(infirstdifferences):1to2

UnrestrictedCointegrationRankTest(Trace)

HypothesizedTrace0.05

No.ofCE(s)EigenvalueStatisticCriticalValueProb.**

None0.11620312.6614315.494710.1278

Atmost10.021766191451538414660.1665

Tracetestindicatesnocointegrationatthe005level

*denotesrejectionofthehypothesisatthe0.05level

**MacKinnon-Haug-Michelis(1999)p-values

UnrestrictedCointegrationRankTest(MaximumEigenvalue)

HypothesizedMax-Eigen0.05

No.ofCE(s)EigenvalueStatisticCriticalValueProb.**

None0.11620310.7469214.264600.1674

Atmost10.0217661.91451538414660.1665

Max-eigenvaluetestindicatesnocointegrationatthe0.05level

*denotesrejectionofthehypothesisatthe0.05level

**MacKinnon-Haug-Michelis(1999)p-values

UnrestrictedCointegratingCoefficients(normalizedbyb'*S11*b=l):

GDPVALUE

-0.000247-0.000239

0000149-0000265

UnrestrictedAdjustmentCoefficients(alpha):

D(GDP)35.99549-275.0113

□(VALUE)-583.076633.79325

1CointegratingEquation(s):Loglikelihood-1543.689

Normalizedcointegratingcoefficients(standarderrorinparentheses)

GDPVALUE

1.0000000.967540

(0.43413)

Adjustmentcoefficients(standarderrorinparentheses)

D(GDP)-0.008888

(0.05122)

□(VALUE)0.143977

(004456)

以檢驗水平().05判斷，跡統計量檢驗有12.66143<15.49471,

1.9145150.841466；最大特征統計量檢驗有10.74692<14.26460,

1.914515<3.841466,所以GDP和成交金額序列存在協整關系。

(4)GDP與居民儲蓄的協整關系

Date:01/12/09Time:15:30

Sample(adjusted):2000M042007M06

Includedobservations:87afteradjustments

Trendassumption:Lineardeterministictrend

Series:GDPSAVING

Lagsinterval(infirstdifferences):1to2

UnrestrictedCointegrationRankTest(Trace)

HypothesizedTrace0.05

No.ofCE(s)EigenvalueStatisticCriticalValueProb.**

None*03078094206237154947100000

Atmost1*0.10915310,0556538414660.0015

Tracetestindicates2cointegratingeqn(s)atthe005level

*denotesrejectionofthehypothesisatthe0.05level

**MacKinnon-Haug-Michelis(1999)p-values

UnrestrictedCointegrationRankTest(MaximumEigenvalue)

HypothesizedMax-Eigen0.05

No.ofCE(s)EigenvalueStatisticCriticalValueProb**

None*0.30780932.0067314.264600.0000

Atmost1*0.10915310.0556538414660.0015

Max-eigenvaluetestindicates2cointegratingeqn(s)atthe005level

*denotesrejectionofthehypothesisatthe0.05level

**MacKinnon-Haug-Michelis(1999)p-values

UnrestrictedCointegratingCoefficients(normalizedbyb'*Sirb=l):

GDPSAVING

-00007467.76E-05

-0.0001134.36E-05

UnrestrictedAdjustmentCoefficients(alpha):

D(GDP)648.9183426.4346

D(SAVING)-739.9964170.4514

1CointegratingEquation(s):Loglikelihood-1506.245

Normalizedcointegratingcoefficients(standarderrorinparentheses)

GDPSAVING

1.000000-0.103986

(0.00703)

Adjustmentcoefficients(standarderrorinparentheses)

D(GDP)-0484069

(0.13398)

D(SAVING)0.552010

(0.10143)

以檢驗水平0.05判斷，跡統計量檢驗有40.06237>15.49471,

10.05565>3.841466；最大特征統計量檢驗有32.00673>14,26460，

10.05565>3.841466,所以GDP和成交金額序列存在協整關系。

七、結論

本文運用最小二乘法，格蘭杰因果關系檢驗，相關性檢驗，單位根檢驗，以

及VAR模型和協整檢驗，分析了200()年至1」20()7年GDP,成交金額，流通市值

和居民儲蓄的月度數據。通過數據分析，我們可以發現我國近七年的GDP保持

較快的增長，并且增長勢頭良好。我國的股票市場在2()00年到2005年之間，無

論在流通市值還是在成交金額方面，基本保持平穩的發展，2006年基本上算是

一個突變點，股市出現了快速增長，甚至可以用激增來形容。這與我國2006年

和2007年經濟過熱，通貨膨脹現象有關，我國居民表現出了巨大的投資熱情，

同時股票市場非常繁榮，使得我國國民炒股比率迅速增加，這帶動了流通市值和

成交金額的顯著增長。本文通過使用最小二乘法，找出了GDP同流通市值以及

成交金額之間的函數關系式，并且通過格蘭杰因果關系檢驗，得出GDP是流通

市值以及成交金額的格蘭杰因果關系。最后運用時間序列的方法，分析了GDP

同流通市值及交易金額的協整檢驗，通過分析，我們可以得出他們之間是存在協

整關系的。

從數據到現實，我們回顧幾年我國經濟的發展情況，從2000年到2007年,

我國的GDP都保持持續、穩定、高速的增長。在持續、穩定、高速的經濟增長

情況下，我國的股票市場也逐步的完善和繁榮。首先，伴隨總體性的經濟增長,

使企業的經營環境不斷改善，上市公司的利潤總體水平也會持續上升，從而帶來

股息紅利的增加和投資風險的降低，這就有利于股票價格的上升。其次，在經濟

增長勢頭較好的情況下，將使投資者對未來經濟形勢形成良好的預期，提高對證

券投資的積極性，從而增加對股票投資的需求，這也有利于股票價格的上升。最

后，隨著GDP的增加，個人的可支配收入也會同步上升，個人收入的增加必然

會在客觀上增加對證券投資的資金來源，實際上等于是擴大了對證券的需求，這

也是有利于證券價格的上升。因此我們可以看出，我國經濟的穩定健康快速的發

展對于我國的股票市場起到了積極的推動作用。

附錄：統計數據

流通市值成交金額GDP現價居民儲蓄

（億元）（億元）（億元）（億元）

2000019623.394183.955502.9060241.84

20000210867.076279.425948.6362270.25

20000311641.938474.456430.4762492.29

20000412037.175759.196470.6462536.12

20000512605.414174.977001.23G2195.39

20000613229.096084.557575.3362842.38

20000714138.755149.066834.8662841.50

20000814291.236310.487395.3162861.11

20000913884.973040.658001.7363243.27

20001014455.472620.078719.5063122.34

20001115492.495012.279417.0763492.06

20001216087.523737.6010170.4364332.38

20010116205.303013.636084.2566547.31

20010215518.071950.056595.3267343.36

20010317662.135095.177149.3368365.13

20010417892.155395.877084.4968618.46

20010518845.114452.167665.4268393.54

20010618866.364917.128293.9969628.58

20010716272.093100.687462.5569677.77

20010815937.652490.858044.6370558.48

20010915178.161766.648672.1171252.64

20011014560.161951.509367.4471818.81

20011115209.582092.2610070.0072323.82

20011214463.172079.2510825.2573762.43

20020112873.251954.656528.0374953.71

20020213278.081262.747050.2778114.33

20020314264.314673.757614.3078728.30

20020414882.593006.687626.2879728.20

20020513703.021876.138251.6480394.30

20020615550.834070.628928.2781711.79

20020715063.823136.188098.5982527.90

20020815279.811886.048770.7783275.97

20020914558.121403.099498.7484139.05

20021013894.881139.2410075.7184725.13

20021113074.151846.7110912.0085693.49

20021212484.561734.6311817.6986910.65

20030113824.932972.717186.4590677.63

20030213955.251620.867926.6592824.21

20030313807.442080.288743.1094567.84

20030413824.105716.698286.6895194.12

20030514386.773158.339049.0596351.67

20030613454.382478.719881.5797674.57

20030713425.092303.788926.6598590.90

20030813063.241499.609756.8399255.58

20030912663.721643.7810664.22100888.60

20031012379.071599.4611223.05101381.89

20031112774.012783.5012289.24102235.44

20031213178.524257.5813456.71103617.65

20040114301.433589.188252.20109232.65

20040215320.817129.179060.