股市是经济的晴雨表吗?——基于2005—2017年沪深300指数和采购经理人指数数据

刘超, 郑莹, 刘宸琦, 刘思源

系统工程理论与实践 ›› 2020, Vol. 40 ›› Issue (1) : 55-68.

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系统工程理论与实践 ›› 2020, Vol. 40 ›› Issue (1) : 55-68. DOI: 10.12011/1000-6788-2018-0705-14
论文

股市是经济的晴雨表吗?——基于2005—2017年沪深300指数和采购经理人指数数据

    刘超1,2, 郑莹1, 刘宸琦3, 刘思源4
作者信息 +

Is the stock market a barometer of the economy?Based on 2005-2017 years' CSI 300 index and PMI data

    LIU Chao1,2, ZHENG Ying1, LIU Chenqi3, LIU Siyuan4
Author information +
文章历史 +

摘要

本文采用去趋势交叉相关性分析（DCCA）、多重分形去趋势交叉相关性分析（MF-ADCCA）、基于时间延迟的DCCA算法，选取2005年4月至2017年6月沪深300指数和采购经理人指数数据，对中国股市与经济的相依性、非对称性及传导方向进行研究，并引进DCCA交叉相关系数进行国内外比较分析，结果表明总体来看，股市与经济的交叉相关具有持久性，说明股市与经济存在相互影响；股市与经济的交叉相关具有非对称性：股市收益率（经济增速变化量）呈上升趋势比下降趋势时的交叉相关更具有持久性，同时，二者走势存在背离现象，说明股市不是经济的晴雨表；二者之间传导方向是双向的，且相同时滞时，股市对经济的影响更大；与美、英两国比较，中国股市与经济的交叉相关程度最弱.上述结果为宏观经济预测和调控提供重要参考.

Abstract

Based on historical data of CSI 300 index and purchasing manager' data between April 2005 and June 2017, this paper uses detrend cross-correlation analysis (DCCA), multifractal asymmetric detrend cross-correlation analysis method (MF-ADCCA), detrend cross-correlation analysis on the time-delay to study the dependence, asymmetry and transmission direction of China's stock market and economy, then introduces the detrend cross-correlation coefficient (DCCA coefficient) to compare and analyze the condition of domestic and foreign countries. The results indicate that the cross-correlation between stock market and economy is persistent, which shows that there is mutual influence between stock market and economy. The cross-correlation is asymmetric, indicating that the cross-correlation is more durable when the stock market return rate or the rate of economic growth is on the rise. There is inconsistency between the trend of stock market and the trend of economy, which indicates that the stock market is not the barometer of the economy. The casual relationship between them is bidirectional. For the same length of time-delay, the stock market could have a greater impact on the economy. Compared with the condition of the United States, Britain, the cross correlation between Chinese stock market and economy is the weakest. The above results provide important reference for macroecononic forecasting and regulation.

关键词

股市 / PMI / 交叉相关性 / 去趋势交叉相关性分析

Key words

stock market / PMI / cross correlation / detrend cross-correlation analysis

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刘超 , 郑莹 , 刘宸琦 , 刘思源. 股市是经济的晴雨表吗?——基于2005—2017年沪深300指数和采购经理人指数数据. 系统工程理论与实践, 2020, 40(1): 55-68 https://doi.org/10.12011/1000-6788-2018-0705-14
LIU Chao , ZHENG Ying , LIU Chenqi , LIU Siyuan. Is the stock market a barometer of the economy?Based on 2005-2017 years' CSI 300 index and PMI data. Systems Engineering - Theory & Practice, 2020, 40(1): 55-68 https://doi.org/10.12011/1000-6788-2018-0705-14
中图分类号： F832.5   

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基金

国家自然科学基金（61773029，61273230）；北京市属高校高水平教师队伍建设支持计划长城学者培养计划项目（CIT&TCD20170304）
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