2023年计量经济学数据分析

计量经济学数据分析

学院：管理与经济学院

专业：技术经济及管理

姓名：葛文

学号：20808172

分析中国经济发展对中国股票市场的影响

本文通过分析2000年到2007年各月股票市场流通市值(value),成交金额

(turnover),GDP现价和居民储蓄(saving)的相关数据，试图分析我国经济发展对

股票市场的影响。数据来源为CCFR数据库和证监会网站。具体分析如下：

一、绘制四个数据变量的线性图，查看200()年到2007年他们各自的走势。

二、采用最小二乘法(0LS)进行分析

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

回归表达式：gdp=10433.48+0.191218*turnover

其中:Prob低于0.05,说明对应系数显著不为零；R2=0.195641,说明拟合

程度一般；Prob(F-statistic)=0.000013<0.05,说明至少有一个解释变量的回归

系数不为零。

-------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

回归表达式：gdp=8470.567+0.196853*value

其中:Prob低于0.05,说明对应系数显著不为零；R2=().154730,说明拟合

程度一般；Prob(F-statistic)=0.000125<0.05,说明至少有一个解释变量的回归

系数不为零。

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

三、格兰杰因果检验

（1）检验GDP同流通市值之间的格兰杰因果关系

PairwiseGrangerCausalityTests

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

Sample:2000M012007M06

Lags:10

NullHypothesis:ObsF-StatisticProbability

TURNOVERdoesnotGrangerCauseGDP801.083480.38941

GDPdoesnotGrangerCauseTURNOVER2.677050.00904

滞后期为10,P（F>1.08348尸0.38941,P（F>2.67705）=0.00904,所以原假设

"TURNOVER不是GDP变化的原因“被接受，但原假设“GDP不是TURNOVER

变化的原因”被拒绝。

（2）检验GDP同成交金额之间的格兰杰因果关系

PairwiseGrangerCausalityTests

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

Sample:2000M012007M06

Lags:10

NullHypothesis:ObsF-StatisticProbability

VALUEdoesnotGrangerCauseGDP800.635140.77782

GDPdoesnotGrangerCauseVALUE3.306360.00185

滞后期为10,P(F>0.63514)=0.77782,P(F>3.30636)=0.00185,所以原假设

“VALUE不是GDP变化的原因”被接受，但原假设“GDP不是VALUE变化的

原因”被拒绝。

四、时间序列模型估计

(1)时间序列图

（2）流通市值的相关图和偏相关图

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

由图可知，流通市值的是平稳序列。

(3)成交金额的相关图和偏相关图

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

由图可知，成交金额是平稳序列。

(4)GDP与居民储蓄散点图

25000-

20000-

Q15000-

0

10000-

5000-

4000080000120000160000200000

SAVING

五、居民储蓄的单位根ADF检验(一阶差分)

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,为负且绝对值很大，则拒绝单位根假设而表明序列是平稳

的。

六、VAR模型分析与协整检验

(1)GDP与流通市值的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与成交金额的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与成交金额的协整性检验

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)

以检验水平().05判断，迹统计量检验有12.66143<15.49471,

1.9145150.841466；最大特征统计量检验有10.74692<14.26460,

1.914515<3.841466,所以GDP和成交金额序列存在协整关系。

(4)GDP与居民储蓄的协整关系

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)

以检验水平0.05判断，迹统计量检验有40.06237>15.49471,

10.05565>3.841466；最大特征统计量检验有32.00673>14,26460，

10.05565>3.841466,所以GDP和成交金额序列存在协整关系。

七、结论

本文运用最小二乘法，格兰杰因果关系检验，相关性检验，单位根检验，以

及VAR模型和协整检验，分析了200()年至1」20()7年GDP,成交金额，流通市值

和居民储蓄的月度数据。通过数据分析，我们可以发现我国近七年的GDP保持

较快的增长，并且增长势头良好。我国的股票市场在2()00年到2005年之间，无

论在流通市值还是在成交金额方面，基本保持平稳的发展，2006年基本上算是

一个突变点，股市出现了快速增长，甚至可以用激增来形容。这与我国2006年

和2007年经济过热，通货膨胀现象有关，我国居民表现出了巨大的投资热情，

同时股票市场非常繁荣，使得我国国民炒股比率迅速增加，这带动了流通市值和

成交金额的显著增长。本文通过使用最小二乘法，找出了GDP同流通市值以及

成交金额之间的函数关系式，并且通过格兰杰因果关系检验，得出GDP是流通

市值以及成交金额的格兰杰因果关系。最后运用时间序列的方法，分析了GDP

同流通市值及交易金额的协整检验，通过分析，我们可以得出他们之间是存在协

整关系的。

从数据到现实，我们回顾几年我国经济的发展情况，从2000年到2007年,

我国的GDP都保持持续、稳定、高速的增长。在持续、稳定、高速的经济增长

情况下，我国的股票市场也逐步的完善和繁荣。首先，伴随总体性的经济增长,

使企业的经营环境不断改善，上市公司的利润总体水平也会持续上升，从而带来

股息红利的增加和投资风险的降低，这就有利于股票价格的上升。其次，在经济

增长势头较好的情况下，将使投资者对未来经济形势形成良好的预期，提高对证

券投资的积极性，从而增加对股票投资的需求，这也有利于股票价格的上升。最

后，随着GDP的增加，个人的可支配收入也会同步上升，个人收入的增加必然

会在客观上增加对证券投资的资金来源，实际上等于是扩大了对证券的需求，这

也是有利于证券价格的上升。因此我们可以看出，我国经济的稳定健康快速的发

展对于我国的股票市场起到了积极的推动作用。

附录：统计数据

流通市值成交金额GDP现价居民储蓄

（亿元）（亿元）（亿元）（亿元）

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.