货币供给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AbstractThestockmarkethasbeenexistedinourcountryfortwentyseveralyears,withrapiddevelopingspeed.Theconnectionbetweenthestockmarketandmacroeconomicpolicybecamecloserandcloser.Atthemeanwhile,thestockhasbecomeasignificantpartofpeople’sfinancialassets.Fortherecentyears,theissuesaboutrelationbetweenmoneysupplyandstockmarkethasbeenrisengreatattentionofpeople.Becauseofthat,thisessaystudiedtherelativetheoryoftheinfluentialfactorsforstockprice.Thisessayintroducedtwowaysofinfluencetostockprice.Then,Theempiricalresearchwascarriedout:foundthatthemoneysupplydidexactlyhaveaneffectonstockprice.ThisessaystudiedtherelationbetweenthevariationofM0、M1、M2andShanghaicompositeindexviaVARmodel.Andithasbeenprovedthatthemodelissteadyandithasstrongexplainedcapability.Besides,thevariationofmoneysupplyandstockpricehasco-integrationrelationship.Atlast,thisessaymadeaconclusion.Keywords：thevariationofmoneysupply,stockprice,VARmodel目录1、绪论1.1选题背景、目的及意义........................................11.1.1选题背景..............................................11.1.2选题目的及意义........................................11.2国内外研究现状1.2.1国外研究现状..........................................21.2.2国内研究现状..........................................41.3研究方法及思路..............................................52、股价影响因素的理论分析2.1股票价格的影响因素..........................................72.2货币供应相关理论和概念......................................93、关于货币供应量变动影响股票市场的理论3.1货币供应量变动对股票内在价值的影响.........................153.1.1未来预期股利影响股票内在价值..........................123.1.2无风险利率影响股票价格................................133.1.3风险溢价影响股票价值..................................143.2货币供应量变动对股票需求影响...............................144、货币供应量变动影响股价的实证研究4.1变量选取与数据来源.........................................164.2数据处理与描述性统计分析...................................164.3货币供应量对于股票价格影响的VAR模型分析...................174.3.1ADF单位根检验........................................174.3.2协整检验..............................................184.3.3VAR模型与脉冲响应函数................................204.3.4格兰杰因果关系检验....................................234.4实证结果分析...............................................245、结论与展望.....................................................25参考文献...........................................................26附录...............................................................28致谢.............................................................311绪论1.1选题背景、目的及意义1.1.1选题背景我国的股票市场从1984年开始，已经有了20多年的历程...
