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股权分置曾经是我国资本市场的一个比较严重的问题,同股不同权、市场分割现象较为严重,股市定价存在偏差,股市作为宏观经济“晴雨表”的能力被大大削弱。为更好地反映目前我国股市和宏观经济的关系,本文选择股权分置改革大致完成后的2007年1月至2016年3月的月度数据进行研究。首先对模型进行了单位根检验,随后对数据进行了协整检验。最后本文得出结论,股市和一些宏观经济数据存在着长期的协整关系。
Split share structure used to be a serious problem in our country’s capital market. With the same rights of different shares, the phenomenon of market segmentation is more serious, the pricing of stock market is biased, and the stock market’s ability as a macroeconomic indicator is greatly weakened. In order to better reflect the current relationship between China’s stock market and macroeconomy, this paper selects the monthly data from January 2007 to March 2016 after the split share structure reform is substantially completed. First, the unit root test was carried out on the model, and then the data was co-integrated test. Finally, this paper concludes that there is a long-term cointegration relationship between the stock market and some macroeconomic data.