【正文】 29 / 30宏觀經(jīng)濟(jì)因素對(duì)股票市場(chǎng)收益的協(xié)整計(jì)量分析內(nèi)容提要以經(jīng)典宏觀經(jīng)濟(jì)和金融理論為框架，應(yīng)用協(xié)整計(jì)量分析，本文分析了代表性宏觀變量與股市收益率之間的關(guān)聯(lián)性，試圖為宏觀對(duì)股市的影響提供一個(gè)有意義的探索。宏觀經(jīng)濟(jì)和股市的關(guān)聯(lián)一直是個(gè)困擾經(jīng)濟(jì)學(xué)界未解之謎；從 “代表性消費(fèi)模型”的構(gòu)建直到今天“股權(quán)溢價(jià)之謎”也都一直沒能在理論上得到真正的解決。大量的金融研究者從資產(chǎn)定價(jià)模型入手加入宏觀變量因素，計(jì)量了宏觀變量對(duì)股票資產(chǎn)的影響，取得了豐富的成果；但在實(shí)證中基于資產(chǎn)定價(jià)模型的“市場(chǎng)有效性”假說過于嚴(yán)格，從而使宏觀與股市的關(guān)聯(lián)在實(shí)證過程中的適用性也成了一個(gè)“謎”。中國(guó)資本市場(chǎng)是一個(gè)新興的市場(chǎng)，也是一個(gè)有著明顯制度轉(zhuǎn)型特征的市場(chǎng)，市場(chǎng)的有效性更弱，宏觀變量對(duì)股市的影響也是有限的。然而，隨著近年來機(jī)構(gòu)投資人的增加，資本市場(chǎng)化進(jìn)程的加快，以及資本市場(chǎng) “有效性” 的加強(qiáng)，對(duì)宏觀變量與股市關(guān)聯(lián)的研究開始顯現(xiàn)其實(shí)際意義了。本文以資產(chǎn)定價(jià)模型為基礎(chǔ)，構(gòu)造了一個(gè)實(shí)證體系，從總體上利用協(xié)整模型對(duì)宏觀變量和股票市場(chǎng)資產(chǎn)的收益性進(jìn)行了關(guān)聯(lián)研究，并得出“不穩(wěn)定”和有限影響的基本結(jié)論；進(jìn)一步，本文深入到宏觀變量對(duì)行業(yè)與上市公司績(jī)效影響的微觀層面，分析得出了很多符合經(jīng)濟(jì)學(xué)假說的結(jié)論，為中國(guó)宏觀變量與股票收益是否關(guān)聯(lián)這一“謎題”提供了實(shí)證的探索和理論的解釋?；谥袊?guó)股票市場(chǎng)弱有效性的特征，本文除了在傳統(tǒng)意義上研究了宏觀經(jīng)濟(jì)與股市收益率之間的直接關(guān)系外，更進(jìn)一步將宏觀經(jīng)濟(jì)與股市收益率之間的兩個(gè)傳導(dǎo)環(huán)節(jié)——宏觀經(jīng)濟(jì)對(duì)行業(yè)和上市公司微觀績(jī)效的影響以及上市公司微觀績(jī)效對(duì)股市收益率的影響——隔離開來，并集中分析了前一個(gè)環(huán)節(jié)的作用機(jī)制和傳導(dǎo)效率，從而使本文的研究有別于前人的成果。本文利用協(xié)整方法對(duì)中國(guó)宏觀變量與股市收益之間的關(guān)聯(lián)性進(jìn)行了實(shí)證研究，得出了很多有意義的結(jié)論：宏觀對(duì)股市收益影響的有限性和不穩(wěn)定性。除GDP外，其他各項(xiàng)宏觀經(jīng)濟(jì)指標(biāo)（M利率和通貨膨脹率）與股市收益率之間的相關(guān)性均通不過協(xié)整檢驗(yàn)；只有GDP與股市收益率在95%置信區(qū)間下顯著正相關(guān)——對(duì)應(yīng)GDP增長(zhǎng)率1個(gè)百分點(diǎn)的上升，；但該協(xié)整關(guān)系在滯后2期以后就消失了，顯示在整個(gè)樣本期內(nèi)（1996年初到2004年第三季度）GDP對(duì)股市的長(zhǎng)期影響并不穩(wěn)定，模型可能發(fā)生了結(jié)構(gòu)性變化，從一個(gè)角度探索了市場(chǎng)的有效性不足。宏觀變量與上市公司基本面的數(shù)量擴(kuò)張正相關(guān)。本文的實(shí)證結(jié)果顯示上市公司總體的收益規(guī)模（主營(yíng)業(yè)務(wù)收入增長(zhǎng)率）與GDP增長(zhǎng)率之間存在著顯著的正相關(guān)關(guān)系（99%置信區(qū)間）。進(jìn)一步，通過細(xì)化研究GDP增長(zhǎng)率對(duì)各產(chǎn)業(yè)群收入增長(zhǎng)的影響，文章發(fā)現(xiàn)，GDP總量增長(zhǎng)的好處在各產(chǎn)業(yè)群之間的分享程度是不同的：上游基礎(chǔ)工業(yè)，如石油、石化、有色金屬和鋼鐵等行業(yè)對(duì)GDP增長(zhǎng)的敏感度均大于1；～；；相反，消費(fèi)類產(chǎn)業(yè)對(duì)GDP總量增長(zhǎng)不敏感（對(duì)人均收入的增長(zhǎng)敏感）。但由于消費(fèi)類產(chǎn)業(yè)在上市公司中所占的比例很大，接近60%，大于其在國(guó)民經(jīng)濟(jì)中所占的比重，因此，對(duì)應(yīng)GDP增長(zhǎng)率1個(gè)百分點(diǎn)的上升，上市公司主營(yíng)業(yè)務(wù)收入增長(zhǎng)率上升幅度小于1（）。宏觀變量與上市公司基本面的質(zhì)量改善在產(chǎn)業(yè)群層面顯著正相關(guān)。盡管在上市公司整體層面上，本文的實(shí)證研究顯示找不到一個(gè)宏觀變量能夠?qū)ξ⒂^個(gè)體的收益質(zhì)量產(chǎn)生顯著影響；但在具體產(chǎn)業(yè)群上，本文卻發(fā)現(xiàn)了不同宏觀變量與不同產(chǎn)業(yè)群在收益質(zhì)量上的顯著相關(guān)性。不過這種相關(guān)性主要體現(xiàn)為宏觀變量對(duì)毛利潤(rùn)率的影響，而與ROE之間的相關(guān)性不顯著——這再次證明了我國(guó)投資推動(dòng)型的經(jīng)濟(jì)增長(zhǎng)模式。綜上，本文利用協(xié)整模型對(duì)中國(guó)股市和宏觀經(jīng)濟(jì)變量進(jìn)行了實(shí)證分析，結(jié)果表明中國(guó)股市的成熟度依然較低，市場(chǎng)有效性較弱，但微觀層面的傳遞有效性較強(qiáng)。總之，整體市場(chǎng)與宏觀變量的關(guān)聯(lián)性仍不盡人意，但相信隨著市場(chǎng)化改革深入，中國(guó)股票市場(chǎng)將逐步走向有效，宏觀對(duì)股票的影響也將成為影響股市收益和風(fēng)險(xiǎn)的重要因素，從而在宏觀與微觀、符號(hào)與實(shí)體之間建立一種有效的邏輯對(duì)應(yīng)。只有這樣，中國(guó)的資本市場(chǎng)才能服務(wù)好經(jīng)濟(jì)建設(shè)，同時(shí)分享中國(guó)經(jīng)濟(jì)的高速增長(zhǎng)！ABSTRACTIn this paper we analyze relationships among selected macroeconomic variables and Chinese stock market basing on the classical financial researching frame, by employing a cointegration Analysis model, try to offer a meaningful grope for the macroscopic affection on the stock market. The correlation between macroeconomy and the stock market has been a mystery for years. Since the construction of the Representative Agent Model, the Equity Premium Puzzle has not been solved theoretically. To explain this puzzle many financial researchers add the macroeconomic factors to the capital asset pricing models to calculate the influence of macro variables on the stock assets. The results are affluent. However, the Efficient Market Hypothesis of the capital asset pricing models are too strong in practice, which creates a new puzzle on the application of the correlation between macroeconomy and the stock market to the empirical work. As an emerging market with the evident characters of a transition period, the China capital market is weakly efficient and the influence of the macro variables is also limited. Along with the incremental proportion of the institutional investors, the accelerated progress of the marketing reform and the strengthening efficiency of the capital market, the researching work on the puzzle of the correlation between the macro variables and the Chinese stock market has bee more and more instructive. In fact, according to this paper, the cointegrated analysis of the correlation between the macro variables and the stock market derives the conclusion that the influence of the macro variables to the stock market is limited and unstable. However, the intensive analysis of the correlations between the macro variables and the micro performance of the industries and panies derived many conclusions consistent with the economic theories. With these two analyses together, the paper constructed an empirical frame for the current study as well as for the further grope on this puzzle. Besides the traditional research on the direct correlation between macro variables and stock market, the paper separated the transmission system into two steps, the impact of the macro variables to the micro performance of real industries and the impact of the micro performance to the stock returns. By focusing on the efficiency of the first step, the paper makes itself distinct with the predecessors. By using the cointegration analysis to study the correlation between macro variables and stock market, the paper has drawn some significant conclusions. 1. The limited and unstable influence of macroeconomy on stock market. Except GDP, the correlation between stock market and other macro variables, including M2, interest rates and inflation rate, cannot pass the cointegration test. Only the GDP growth direct correlates with the stock market return under a 95% confidential interval, a 1% increase in GDP growth leading to a % increase in stock market return. However, such a relationship will vanish after two terms lag, which shows an unstable relationship between the two variables. In other words, during the sample period (from Q1 1996 to Q3 2004), the model may have changed for some reasons, which implies the weak efficiency of the market. 2. The significant correlations between macro variables and the scale expansion of the listing panies. According to the metric analysis of this paper, taking all the listing panies as a whole, there is a significant positive correlation between the revenue growth and the GDP growth (under a 99% confidential int