| 消费者信心指数与股票市场收益的实证研究 |
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| 引用本文： | 王汝芳,田业钧.消费者信心指数与股票市场收益的实证研究[J].经济与管理,2009,23(12):22-26. |
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| 作者姓名： | 王汝芳 田业钧 |
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| 作者单位： | 北京物资学院,研究生部,北京,101149 |
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| 摘 要： | 基于行为金融学的视角，研究消费者信心和股票市场收益的互动关系，结果发现消费者信心指数与殷市收益具有较强的相关性。利用脉）辛响应和方差分解分析消费者信心与股市收益之间的互动关系，结果表明，消费者信心指数能预测一部分收益，股市收益与消费者信心指数间的冲击具有不对称性。
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| 关 键 词： | 消费者信心指数 股票市场收益 向量自回归 |
An Empirical Analysis between Consumer Confidence Index and Stock Market Returns |
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| Wang Rufang,Tian Yejun.An Empirical Analysis between Consumer Confidence Index and Stock Market Returns[J].Economy and Management,2009,23(12):22-26. |
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| Authors: | Wang Rufang Tian Yejun |
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| Institution: | Wang Rufang,Tian Yejun(Economy School,Beijing Wuzi University,Beijing 101149,China) |
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| Abstract: | Based on the behavior financing angle,investigating the relationship between consumer confidence index(CCI) and stock returns in Chinese stock market,and we prove the consumer confidence index has significant influence on stock profit.Using impulse response function and decomposition to analyze the dynamic response of consumer confidence index and stock returns impulse,we can find that consumer confidence index can predict a part of stock returns,the impulse between consumer confidence index and stock retur... |
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| Keywords: | consumer confidence index(CCI) stock returns VAR |
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