货币供应量变动对股价影响的实证研究 摘 要本文围绕货币供给量变动对于股票价格的影响进行展开分析。通过理论分析，分析了股票价格影响的因素与货币供应量变动对于股票价格影响的两种方式途径；通过实证分析，分析了货币供应量变动与上证指数的关系，得出了货币供应量变动与股票价格之间的关系。本文认为股价影响主要由宏观因素、微观因素与市场等因素变动引起，之后分析了货币供应量变动对于股价的影响途径有两个，一是影响股票的内在价值，二是影响股票的需求。为此，本文采用了 VAR 向量自回归模型进行实证分析，分析结果表明，货币供应量变动与股票价格之间存在长期均衡关系，M1 同比增长速率和股价走势大体一致。关键词：货币供应量变动、股票价格、VAR 向量自回归模型AbstractThe stock market has been existed in our country for twenty several years, with rapid developing speed. The connection between the stock market and macroeconomic policy became closer and closer. At the meanwhile, the stock has become a significant part of people’s financial assets. For the recent years, the issues about relation between money supply and stock market has been risen great attention of people. Because of that, this essay studied the relative theory of the influential factors for stock price. This essay introduced two ways of influence to stock price. Then, The empirical research was carried out: found that the money supply did exactly have an effect on stock price. This essay studied the relation between the variation of M0、M1、 M2 and Shanghai composite index via VAR model. And it has been proved that the model is steady and it has strong explained capability. Besides,the variation of money supply and stock price has co-integration relationship.At last,this essay made a conclusion.Key words：the variation of money supply, stock price,VAR model 目录1、绪 论1.1 选题背景、目的及意义........................................11.1.1 选题背景....................
