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本文采用向量自回归VAR模型以及协整检验等时间序列分析方法,研究人民币汇率、国际游资、宏观经济三因素对中国股票市场价格的影响。实证研究发现,金融危机爆发前人民币升值是本轮股市暴涨的主要推动力,而金融危机爆发后的国家宏观经济状况的恶化成为此后股票市场的大幅下跌的主要因素。本文对实证结果进行解释,最后提出对策性建议。
In this paper, vector regression VAR model and co-integration test and other time series analysis methods to study the RMB exchange rate, international hot money, macroeconomic three factors on the Chinese stock market price. The empirical study found that RMB appreciation before the financial crisis broke out was the main driving force behind the surge in the stock market. The deterioration of the national macroeconomic conditions after the outbreak of the financial crisis has become the major factor in the stock market slump. This article explains the empirical results, and finally puts forward countermeasures and suggestions.