我国宏观经济因素对股市预测力研究

摘要

本文研究了宏观经济因素对上证综指的预测能力。在宏观因素的选择上,本文梳理了学术文献和业内人士关注的宏观指标,并从经济含义出发总结出流动性、总体经济增长和房地产市场等三类因素的八个宏观经济指标。通过初步的时差分析法检验,我们发现其中六个指标具有显著预测力;通过更严格的样本内、外预测回归模型检验,我们又发现其中的两个具有显著预测力,即景气先行指数和商品房销售面积。更进一步地,基于统计分析结果,我们构建了两类投资策略,即择时策略和战术资产配置策略,通过和基准策略的比较,我们发现宏观经济因素的预测作用是可以为投资者的资产组合带来统计上显著且经济上可观的超额回报的。%In this paper,we study the Chinese stock market predictability by macro-economic indicators.Based on such indicators chosen in the literature as well as fund management industry,we focus on eight indicators of three groups:liquidity,aggregate growth,and the real-estate market.Using time difference correlation analysis,we found six among the chosen eight indicators have significant correlation with lagged Shanghai Stock Index returns.We further use in-and out-of-sample regressions to examine the predictability,we find two indicators have significant predictive power,they are Leading Economic Indicator and Commercial real-estate sales.Furthermore,based on the above econometric analysis,we construct two types of investment strategies:market-timing strategy and tactic asset allocation strategy.We show that the predictability of the macro-economic indicators we chose can indeed enhance the performance relative to buy-and-hold strategy,both in statistical and economic terms.