文档介绍：河北大学
硕士学位论文
我国经济波动与股市波动关系研究
姓名:张红梅
申请学位级别:硕士
专业:数量经济学
指导教师:刘树
20100501
摘要
摘要
随着我国金融业的发展,构成金融市场重要组成部分的股票市场在国民经济中占据
了越来越重要的地位。股票市场是市场经济的产物,所以股票市场变动与国民经济变动
有着千丝万缕的关系,一方面,股票市场应该反映着国民经济的运行情况,起着预示经
济发展趋势的作用,另一方面,股票市场作为整个国民经济系统的子系统,会受到国民
经济中各个因素变动的影响。在市场经济中,经济的发展总是在周期性的波动中实现的,
股票市场作为反映国民经济状况的一个窗口,号称是经济发展的晴雨表,作为经济发展
的晴雨表,股票市场是一个充满不确定性的要素市场,投资者决定购买股票,是建立在
对未来预期的基础上的,由于经济因素、政治因素以及参与主体的自身因素等都会对人
们的预期产生影响,所以股票市场也经常是风云变幻、起伏不定,随着供求关系的变化
而上下波动。
本文在前人的研究成果基础之上,运用定性和定量分析方法研究我国经济波动与股
市波动的关系,其中重点放在建立符合我国经济波动与股市波动特点的模型上,并进行
实证分析,通过模型参数估计结果总结我国经济波动与股市波动的特点,并分析了他们
之间的具体关系,之后本文又把我国股市波动与经济波动关系和其他一些国家进行比
较,从而得出我国股票市场波动与经济波动关系与其他国家有何异同。
本文最后根据研究结果,结合当前经济形势,为促进我国经济和股市良性发展提出
了一些政策建议。

关键词经济波动股市波动 ARCH 类模型
I
Abstract
Abstract
With the development of China's financial, stock markets, which are important
component of financial markets, accounts for an increasingly important role in the National
economy. The stock market is a product of the market economy,so the fluctuation of stock
market and the national economy have a strong ties, on the one hand, the stock market should
reflects the operation of the national economy, plays a role of the indication of the economic
development trends, the other hand, the stock market as a whole sub-national economic
system, will be impacted by various factors of national a market economy, the
economic development is always finished with cyclical fluctuations, the stock market reflects
the national economic situation as a window, known as a barometer of economic development,
the stock market is full of uncertainty factor markets, investors decided to buy the stock,
which is built on the basis of future expectations, due to economic factors, political factors
and the factors about the main body will have impact on people's expectations, so the stock
market are often filled with the ever-changing, fluctuate with the changes of supply and
demand.
In this paper, based on the resul