中国股市晴雨表功能的长短期表现分析

本文以1995—2019年A股上市公司数据为样本,借鉴历史维度与国际股市比较分析,基于长期与短期、存量与增量视角,探讨股票指数与实体经济之间的关联性,论述中国股市晴雨表效应的特点与问题。研究结果表明:从长期均衡看,中国股指能够反映宏观经济发展趋势,但部分阶段存在背离现象;从短期波动看,股指相关性偏弱,预测性不强,股市晴雨表效应不仅弱于美国和德国等发达国家,甚至不及俄罗斯与印度等金砖国家。从存量看,大量亏损以及缺乏盈利能力的上市公司未能及时出清,较大程度影响股指代表性;从增量看,很多选择境外上市的新兴企业,并未包含在现行股指中,由此降低股市整体估值水平与股指质量。本文借助万得全A指数降低权重股对总股指的牵制作用,选择申万绩优股指数作为领先指标,但并不能提升股指短期波动对宏观经济的预测与警示作用,晴雨表效应未见明显改善,说明股指代表性的提升,并不能有效降低短期情绪面和政策面带来的较大扰动。依据实证结果,本文建议在存量方面尽快完善退市机制,在增量方面加快注册制改革步伐,引导更多优质潜力企业在A股上市,同时吸引中概股回归,以此提升上市公司质量和股指代表性,从而更为客观反映实体经济发展情况。此外还要大量引入中长期资金入市,增强外部机构投资者力量,助力股市短期波动回归经济基本面,促进其晴雨表作用的充分发挥。

The Analysis of the Long and Short Term Performance of the Barometer Function in China's Stock Market

This paper analyzes the relationship between stock index and real economy from the perspective of long-term and short-term, stock and increment, and discusses the characteristics and existing problems of China''s stock market barometer using the listed company data from 1995 to 2019.The results show that from the perspective of long-term equilibrium, China''s stock index can reflect the trend of macro-economic development, but there is deviation in some stages, From the perspective of short-term volatility, the predictability of stock index is not strong, and the barometer effect is weak, not only weaker than developed countries such as the United States and Germany, but also weaker than BRICs such as Russia and India. In terms of stock, the failure to clear the low profit and loss-making listed companies in time affects the representativeness of stock index. Jn terms of increment, many high-quality enterprises choose to list overseas, which does not affect the representativeness of stock index. Using Wind index to reduce the influence of weight stocks on the total stock index, also chooses the blue chip stock index as the leading indicator, but these does not improve the prediction and warning effect of short-term fluctuation of stock index on macro-economy, and the barometer effect should not be improved significantly, which shows that the representativeness of stock index can''t effectively reduce the disturbance brought by short-term sentiment and policy. Based on the empirical results, this paper suggests that the regulatory agencies should improve the delisting mechanism as soon as possible in terms of stock, speed up the reform of registration system in terms of increment, attract more excellent enterprises to be listed in domestic A-share market, and improve the quality of Listed Companies in two ways, so as to reflect the development of the real economy objectively. At the same time, the introduction of medium and long-term funds and the strengthening of institutional investors will help the short-term volatility of the stock market return to the economic fundamentals and promote its role as a barometer.