货币流动性对我国各行业股价冲击影响的实证分析

摘要

Researches have mainly focused on the relations between monetary liquidity and stock index as well as the index of house price.However,relations between monetary liquidity and stock prices haven＇t been fully discussed till now.Through the checking of the liquidity by M2/GDP and deposit-loan ratio,and the construction of vector error correction mode（VEC）,the impact of monetary liquidity on stock prices of China＇s industries can be empirically proved.According to Shen Wan index classification standard,the impact on 22 industries becomes obvious from the first to the fourth period（month）.Real estate（with its total value circulation of more than 30%） and finance industry have been affected greatly.Comparing to M2/GDP,the impact of short-term deposit-loan ratio on stock market is more important,while the monetary liquidity will have a long and sustainable influence on the stock market.%已有文献多是研究货币流动性与股票指数、房价指数之间的关系,没有探讨货币流动性与各行业股票价格关系的文章,因此,分别用M2/GDP和存贷比来衡量货币流动性,并通过构建向量误差修正模型（VEC）,可以从实证的角度研究出货币流动性对中国各行业股票价格的冲击影响。根据申万行业指数分类标准,考察货币流动性对22个行业股票价格的冲击影响,得到的结论是在1—4期（月）内货币流动性对各行业股票价格冲击影响显著,特别是对流通市值超过30%的房地产和金融服务冲击影响较大;与M2/GDP相比,短期内存贷比对股市的冲击影响更重要,从长期的角度看前者冲击影响更具持续性。