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

被引：22

作者：

刘超 ^{[1
,2
]}

郑莹 ^{[1
]}

刘宸琦 ^{[3
]}

刘思源 ^{[4
]}

机构：

[1] 北京工业大学经济与管理学院

[2] 北京现代制造业发展研究基地

[3] 迪金森学院数学与计算机科学系

[4] 北京工业大学北京-都柏林国际学院

来源：

系统工程理论与实践 | 2020年 / 40卷 / 01期

关键词：

股市; PMI; 交叉相关性; 去趋势交叉相关性分析;

D O I：

暂无

中图分类号：

F832.51 [];

学科分类号：

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.

引用

页码：55 / 68

页数：14

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