中国PMI与上证指数关系的实证研究

利用2005年至2013年的中国制造业采购经理指数(PMI)数据与相应时期的上证综合指数的相关数据,采用协整关系检验法和Granger因果检验法对二者之间的关系进行研究,并以此建立误差修正模型。结果表明:PMI与上证综合指数之间存在协整关系,即两者之间存在着长期均衡关系;PMI是上证综合指数的Granger原因,而上证综合指数不是PMI的Granger原因,进而表明PMI有助于对上证综合指数的预测。

An Empirical Study of Chinese PMI Relationship with the Shanghai Composite Index

The purpo hai Composite Index. se of this By using ing the period of 2005-2013 , tween the PMI and Shanghai C the Shanghai Composite Index paper is to explore the relationship between manufa Co integration Test and the Granger Causality Test cturlng Method Purchasing Manager＇ s Index（PMI） of China and Shang relationship between the two has been studied dur and thus establishes the Error Correction Model. The results showed that： there is a cointegration relationship be omposite Index ,namely, there is a long run equilibrium relationship between the two. PMI is the Granger cause of , while the Shanghai Composite Index is not the Granger reason of PMI , which shows that the PMI helps to fore cast the Shanghai composite index.