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将2005~2012年间宏观经济信息预期值与实际值之间的差异设为自变量,以股票市场价格指数为因变量,利用一般线性回归方法分析两者之间的相关性。研究结果表明,在宏观经济信息公布后一个工作日的较短时期内,PPI和进口量两个变量对股票市场的影响显著;在宏观经济信息公布两个工作日或五个工作日的较长时期内,PPI和M2对股票市场的影响突出。其他宏观经济信息预期与实际值之间的差异对股票市场波动的解释能力较弱,进出口贸易的协同效应与单独效应一致。
Taking the difference between the expected value and the actual value of macroeconomic information from 2005 to 2012 as the independent variable and the stock market price index as the dependent variable, the general linear regression method was used to analyze the correlation between the two. The results show that in a relatively short period of one working day after the publication of macroeconomic information, the two variables of PPI and import have a significant impact on the stock market. When the macroeconomic information is released for two working days or five working days In the period, PPI and M2 have prominent impact on the stock market. The discrepancy between the expectation and the actual value of other macroeconomic information on the stock market volatility is weaker, and the synergies between import and export trade are consistent with the individual effects.