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自凯恩斯理论提出以来,关于股价与投资行为的关系就一直是具有重要意义的研究课题。本文实证分析了中国民间投资与股价的短期和长期动态关系。结果显示,不论实际还是名义值,民间投资都与股价保持长期动态均衡关系;在短期,名义民间投资的过去变化对股价有正的影响,而实际投资的变化对实际股价影响不显著;实际股价的变化影响实际民间投资,过去名义股价变化对名义投资也有同样的作用。本文还给出了中国民间投资和股价之间的联系可以用利率变化来解释的证据。
Since the Keynesian theory was put forward, the relationship between stock price and investment behavior has always been an important research topic. This paper empirically analyzes the short-term and long-term dynamic relationship between private investment and stock price in China. The results show that both private investment and non-government investment keep a long-term dynamic equilibrium relationship with the share price. In the short run, the past change of nominal private investment has a positive impact on the stock price, while the change of the actual investment has no significant effect on the actual stock price. The actual stock price The changes affect the actual private investment. In the past, the change in nominal share price also had the same effect on nominal investment. The paper also gives evidence that the relationship between Chinese private investment and stock price can be explained by the change of interest rate.