計(jì)量經(jīng)濟(jì)學(xué)數(shù)據(jù)分析

計(jì)量經(jīng)濟(jì)學(xué)數(shù)據(jù)分析

學(xué)院：管理與經(jīng)濟(jì)學(xué)院

專業(yè)：技術(shù)經(jīng)濟(jì)及管理

姓名：葛文

學(xué)號(hào)：20808172

分析中國經(jīng)濟(jì)發(fā)展對(duì)中國股票市場(chǎng)的影響

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

額(turnover),GDP現(xiàn)價(jià)和居民儲(chǔ)蓄(saving)的相關(guān)數(shù)據(jù)，試圖分析我國經(jīng)濟(jì)發(fā)

展對(duì)股票市場(chǎng)的影響。數(shù)據(jù)來源為CCFR數(shù)據(jù)庫和證監(jiān)會(huì)網(wǎng)站。具體分析如下：

一、繪制四個(gè)數(shù)據(jù)變量的線性圖，查看2000年到2007年他們各自的走勢(shì)。

二、采用最小二乘法(OLS)進(jìn)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(dá)式：gdp=10433.48+0.191218*turnover

其中:Prob低于0.05,說明對(duì)應(yīng)系數(shù)顯著不為零；R2=0.195641,說明擬合

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

回歸系數(shù)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(dá)式：gdp=8470.567+0.196853*value

其中:Prob低于0.05,說明對(duì)應(yīng)系數(shù)顯著不為零;R2=0.154730,說明擬合

程度一般；Prob(F-s:atistic)=0.000125<0.05,說明至少有一個(gè)解釋變量的

回歸系數(shù)不為零。

四、時(shí)間序列模型估計(jì)

(1)時(shí)間序列圖

（2）流通市值的相關(guān)圖和偏相關(guān)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(wěn)序列。

（3）成交金額的相關(guān)圖和偏相關(guān)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(wěn)序列。

（4）GDP與居民儲(chǔ)蓄散點(diǎn)圖

25000-

20000-

Q15000-

0

10000-

5000-

4000080000120000160000200000

SAVING

五、居民儲(chǔ)蓄的單位根ADF檢驗(yàn)(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(fù)且絕對(duì)值很大，則拒絕單位根假設(shè)而表明序列是平穩(wěn)

的。

六、VAR模型分析與協(xié)整檢驗(yàn)

(1)GDP與流通方值的VAR模型

EstimationProc:

LS12GDPTURNOVER0C

VARModel:

GDP=C(l,1)*GDP(-1)+C(l,2)?GDP(-2)+C(l,3)?TUWVER(-1)+C(l,4)?TURB0VER(-2)+C(l,5)

TURBOYER=C(2,1)*CDP(-1)?C(2,2)?GDP(-2)+C(2,3)#UJRBOVER(T)+C(2,4)*TURNOVER(-2)*C(2,5)

VARModel-SubstitutedCoefficients:

GDP=0.6842894606*GDP(?D?0.216649763*GDP(-2)-0.08318492849*TURIDVER(-1)?0.163325689*7URM)VER(?2)?1005.010579

rURHOVER=0.49587333184GDPI-1)-0.3167387224?GDP(-2)+1.071222977MTURH0VER(-1)-0.006032364298?TUR?)VER(-2)-1956.62832

(2)GDP與成交金額的VAR模型

EstinationProc:

LS12GDPVALUE◎C

VARModel:

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

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

VARModel-SubstitutedCoefficients:

GDP=0.7110219984*GDP(-1)+0.1883354456?GDP(-2)+0.07071686018"VALUE(-1)-0.O4378O92538+VALUE(-2)918.4687882

VALUE=0.03733074724*GDP(-l)+0.07611012516*GDP(-2)+1.433831329*VALUE(-1)-0.4346002215*VALUE(-2)1028.997998

(3)DGP與成交金額的協(xié)整性檢驗(yàn)

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(yàn)水平0.05判斷，跡統(tǒng)計(jì)量檢驗(yàn)有12.66143<15.49471,

1.914515<3.84H66；最大特征統(tǒng)計(jì)量檢驗(yàn)有10.74692<14.26460,

1.914515<3.841466,所以GDP和成交金額序列存在協(xié)整關(guān)系。

(4)GDP與居民儲(chǔ)蓄的協(xié)整關(guān)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(yàn)水平0.05判斷，跡統(tǒng)計(jì)量檢驗(yàn)有40.06237>15,49471,

10.05565>3.841466；最大特征統(tǒng)計(jì)量檢驗(yàn)有32.00673>14,26460,

10.05565>3.841466,所以GDP和成交金額序列存在協(xié)整關(guān)系。

七、結(jié)論

本文運(yùn)用最小二乘法，格蘭杰因果關(guān)系檢驗(yàn)，相關(guān)性檢驗(yàn)，單位根檢驗(yàn)，以

及VAR模型和協(xié)整檢驗(yàn)，分析r2000年到2007年GDP,成交金額，流通幣值和

居民儲(chǔ)蓄的月度數(shù)據(jù)。通過數(shù)據(jù)分析，我們可以發(fā)現(xiàn)我國近七年的GDP保持較快

的增長(zhǎng)，并且增長(zhǎng)勢(shì)頭良好。我國的股票市場(chǎng)在2000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(wěn)的發(fā)展，2006年基本上算是一個(gè)

突變點(diǎn)，股市出現(xiàn)了快速增長(zhǎng)，甚至可以用激增來形容。這與我國2006年和2007

年經(jīng)濟(jì)過熱，通貨膨脹現(xiàn)象有關(guān)，我國居民表現(xiàn)t!了巨大的投資熱情，同時(shí)股票

市場(chǎng)非常繁榮，使得我國國民炒股比率迅速增加，這帶動(dòng)了流通市值和成交金額

的顯著增長(zhǎng)。本文通過使用最小二乘法，找出了CDP同流通市值以及成交金額之

間的函數(shù)關(guān)系式，并旦通過格蘭杰因果關(guān)系檢驗(yàn)，得出GDP是流通市值以及成交

金額的格蘭杰因果關(guān)系。最后運(yùn)用時(shí)間序列的方法，分析了GDP同流通市值及交

易金額的協(xié)整檢驗(yàn)，通過分析，我們可以得出他們之間是存在協(xié)整關(guān)系的。

從數(shù)據(jù)到現(xiàn)實(shí)，我們回顧幾年我國經(jīng)濟(jì)的發(fā)展情況，從2000年到2007年，

我國的GDP都保持持續(xù)、穩(wěn)定、高速的增長(zhǎng)。在持續(xù)、穩(wěn)定、高速的經(jīng)濟(jì)增長(zhǎng)情

況下，我國的股票市場(chǎng)也逐步的完善和繁榮。首先，伴隨總體性的經(jīng)濟(jì)增長(zhǎng)，使

企業(yè)的經(jīng)營(yíng)環(huán)境不斷改善，上市公司的利潤(rùn)總體水平也會(huì)持續(xù)上升，從而帶來股

息紅利的增加和投資風(fēng)險(xiǎn)的降低，這就有利于股票價(jià)格的上升。其次，在經(jīng)濟(jì)增

長(zhǎng)勢(shì)頭較好的情況下，將使投資者對(duì)未來經(jīng)濟(jì)形勢(shì)形成良好的預(yù)期，提高對(duì)證券

投資的積極性，從而增加對(duì)股票投資的需求，這也有利于股票價(jià)格的上升。最后，

隨著GDP的增加，個(gè)人的可支配收入也會(huì)同步上升，個(gè)人收入的增加必然會(huì)在客

觀上增加對(duì)證券投資的資金來源，實(shí)際上等于是擴(kuò)大了對(duì)證券的需求，這也是有

利于證券價(jià)格的.上升。因此我們可以看出，我國經(jīng)濟(jì)的穩(wěn)定健康快速的發(fā)展對(duì)于

我國的股票市場(chǎng)起到了積極的推動(dòng)作用。

附錄：統(tǒng)計(jì)數(shù)據(jù)

流通市值成交金額GDP現(xiàn)價(jià)居民儲(chǔ)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

20000512605.414174.977001.2362195.39

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

20040215320.817129.179060.92110646.38

20040315855.945697.199948.88111872.18

20040414367.685215.639629.32112175.