【正文】 結(jié)果 225總結(jié)和探索：實體的有效和股市收益的無效 27參考文獻： 301導言：宏觀經(jīng)濟因素和股市的關(guān)聯(lián)之“謎” 經(jīng)濟學家一直試圖將股票資產(chǎn)的研究納入到一個統(tǒng)一的經(jīng)濟范式中，其邏輯是所有股票投資都來自于居民收入在消費－儲蓄（投資）的分割，股票投資無非是一種風險資產(chǎn)投資，因此很容易納入到消費－資產(chǎn)的經(jīng)濟學的基本范式中來，并將宏觀因素加入到這一模型中?？傊?，整體市場與宏觀變量的關(guān)聯(lián)性仍不盡人意，但相信隨著市場化改革深入，中國股票市場將逐步走向有效，宏觀對股票的影響也將成為影響股市收益和風險的重要因素，從而在宏觀與微觀、符號與實體之間建立一種有效的邏輯對應(yīng)。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)。宏觀變量與上市公司基本面的數(shù)量擴張正相關(guān)。本文以資產(chǎn)定價模型為基礎(chǔ)，構(gòu)造了一個實證體系，從總體上利用協(xié)整模型對宏觀變量和股票市場資產(chǎn)的收益性進行了關(guān)聯(lián)研究，并得出“不穩(wěn)定”和有限影響的基本結(jié)論；進一步，本文深入到宏觀變量對行業(yè)與上市公司績效影響的微觀層面，分析得出了很多符合經(jīng)濟學假說的結(jié)論，為中國宏觀變量與股票收益是否關(guān)聯(lián)這一“謎題”提供了實證的探索和理論的解釋。宏觀經(jīng)濟和股市的關(guān)聯(lián)一直是個困擾經(jīng)濟學界未解之謎；從 “代表性消費模型”的構(gòu)建直到今天“股權(quán)溢價之謎”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)定價模型入手加入宏觀變量因素，計量了宏觀變量對股票資產(chǎn)的影響，取得了豐富的成果；但在實證中基于資產(chǎn)定價模型的“市場有效性”假說過于嚴格，從而使宏觀與股市的關(guān)聯(lián)在實證過程中的適用性也成了一個“謎”?；谥袊善笔袌鋈跤行缘奶卣鳎疚某嗽趥鹘y(tǒng)意義上研究了宏觀經(jīng)濟與股市收益率之間的直接關(guān)系外，更進一步將宏觀經(jīng)濟與股市收益率之間的兩個傳導環(huán)節(jié)——宏觀經(jīng)濟對行業(yè)和上市公司微觀績效的影響以及上市公司微觀績效對股市收益率的影響——隔離開來，并集中分析了前一個環(huán)節(jié)的作用機制和傳導效率，從而使本文的研究有別于前人的成果。本文的實證結(jié)果顯示上市公司總體的收益規(guī)模（主營業(yè)務(wù)收入增長率）與GDP增長率之間存在著顯著的正相關(guān)關(guān)系（99%置信區(qū)間）。盡管在上市公司整體層面上，本文的實證研究顯示找不到一個宏觀變量能夠?qū)ξ⒂^個體的收益質(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。只有這樣，中國的資本市場才能服務(wù)好經(jīng)濟建設(shè)，同時分享中國經(jīng)濟的高速增長！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 interval). Furthermore, the sub studies show that for different industrial groups, the interest share of GDP growth is different: the upstream heavy industries, such as oil, petrochemicals, steel and nonferrous metal industries, with a sensitivity larger than 1, benefit most from the GDP growth。1978年盧卡斯發(fā)表了“交換經(jīng)濟下的資產(chǎn)價格”一文，構(gòu)建了“代表性消費模型”，將宏觀經(jīng)濟中的消費與風險資產(chǎn)的價格聯(lián)系在一起，并給出了均衡狀態(tài)下的資產(chǎn)定價公式。這類研究一是基于資產(chǎn)定價模型的拓展進行的，代表是APT模型，將宏觀變量納入到資產(chǎn)定價模型中，分析“風險敞口”問題；二是從資產(chǎn)定價模型入手分析宏觀變量對資產(chǎn)收益的影響，討論了經(jīng)濟增長下的貼現(xiàn)、收益增長等，通過實證將宏觀變量與股市資產(chǎn)相關(guān)聯(lián)起來，但這些實證分析潛在有一個基于資產(chǎn)定價模型的假說那就是“市場有效”，這是宏觀與股市關(guān)聯(lián)實證過程中的適用性之謎。中國的股票市場和市場參與的機構(gòu)同中國的銀行等金融機構(gòu)一樣是“不破產(chǎn)”的，政府有潛在的“擔保合約”，同時干預也就是必然的，在這樣的市場下難以將宏觀與資本市場納入到統(tǒng)一理論范式中，宏觀變量對股市影響在一個基本上“無效”市場上