中国股市流动性对提高股票收益率,促进经济发展的作用不容忽视,股票收益率与经济增长对 股市流动性的影响也在日益增强。将经济增长、股票收益率和股市流动性同时纳入TVP-SV-SVAR 分析 框架中,从时变视角分析三者之间的内在关系。实证结果表明,股票收益率是股市流动性和经济增长的 单向Granger 因果关系,股市流动性对股票收益率具有较强的时滞效应且时变性非常显著,经济增长对股 市流动性的冲击效应呈现“勺子”形态,而股市流动性对经济增长的冲击效应呈现“山谷”形态,不同时点 的股市流动性对经济增长的影响具有明显的不对称性和时变性。据此,建议从促进经济高质量增长、完 善股票市场制度、建立风险对冲机制等方面保持股市充足的流动性,以提高股票市场稳定性。
The role of china’s stock market liquidity in raising stock returns and promoting economic development should not be ignored, and the influence of stock returns and economic growth on stock market liquidity is also increasing day by day. In this paper, economic growth, stock returns and stock market liquidity are simultaneously incorporated into the TVP-SV-SVAR analysis framework, and the relationship between them is analyzed from a time-varying perspective. The empirical results show that the stock returns is the stock market liquidity and one-way Granger causality of economic growth, the stock market liquidity has a strong time lag effect on stock returns and the time variability is significant, the impact of the economic growth on the stock market liquidity effect presents a “spoon” form, while the impact of stock market liquidity on economic growth effect presents a “valley” form,and the influence of stock market liquidity at different time points on economic growth is obviously asymmetrical and time-varying. Therefore, the paper suggests maintain sufficient stock market liquidity from the aspects of promoting high-quality economic growth, perfecting stock market system and establishing risk hedging mechanism, so as to improve stock market stability.