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摘要我国股票市场经过多年的发展，已经取得令人瞩目的成绩。然而，作为新兴市场的中国股票市场，仍然经常出现背离经济形势的暴涨暴跌现象。在引起股票市场波动的众多因素中，消费价格指数CPI日渐引起人们的关注。本文主要是从长期和短期的角度分别研究了CPI对股票市场的影响。本文内容主要包括以下几个方面：10199
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对CPI的简单介绍，包括：介绍CPI的定义、功能、发展历史、主要理论、CPI的编制和完善以及国内外CPI差异比较分析。
对CPI和股票指数的平稳性进行分析，接着利用协整检验的方法从整体上判断之间的变动是否存在长期均衡。然后建立VAR模型，基于建立的VAR模型和Granger因果检验分析之间变动的因果关系。最后运用脉冲响应分析一个误差项的变化对系统的动态影响。
研究CPI这一宏观经济信息的公布对中国股票市场的短期影响效应，具体包括两个部分：首先基于事件分析法，研究在CPI宣告前后各一段时间内CPI对股票市场的短期影响，并进行了验证；然后在事件分析法的基础上，分析CPI增大月和CPI减小月股票收益率的变化折线，研究 CPI发表前后几天的收益率变化、发表当日收益率变化、震荡幅度和影响周期。
本文分析了2009年1月——2012年3月CPI对股票市场的影响，得到以下结论：CPI与上证综合指数和深证成分指数之间存在稳定的协整关系，但CPI不是股指的Granger原因；中国股市在CPI信息发布之前后极短的时间里，股价大幅波动，收益率呈现出显著的异常收益特征，这表明中国股市有效性不足。信息在投资主体之间是不对称的，重要的经济信息发布前可能存在泄漏问题。然后简单分析了CPI 增大月和CPI减小月股市收益率在CPI公布前后的变化情况，得出CPI的影响周期是5天，CPI收益率的震荡幅度为0.025。
关键词 CPI 上证综合指数 深证成分指数 协整分析 Granger因果检验 股票市场收益率 事件研究法
毕 业 论 文 外 文 摘 要
Title On the effect of CPI on the stock market
Abstract
After years of development, China's stock market, has achieved remarkable results. However, the Chinese stock market as an emerging market, still often deviate from the economic situation of the spike. Many factors that cause volatility in the stock market, the consumer price index (CPI) is increasingly a cause for concern. This article is mainly from the perspective of long-term and short-term study the impact of CPI on the stock market. This article mainly includes the following aspects:
A brief introduction on the CPI, including: CPI meaning, function, development history ,the main theory, the preparation and integrity of the CPI as well as domestic and foreign CPI differences.
Analyze the smoothness of the CPI and stock index, then cointegration test between the overall judgment whether changes in long-run equilibrium. Then the VAR model, changes in the causal relationship between the establishment of the VAR model and Granger causality test analysis. Finally, the impulse response function and variance decomposition method, dynamic analysis of an error term changes in the system;
Research CPI macroeconomic information published on the Chinese stock market's short-term effect, includes two parts: the first event-based analysis to study the CPI in each period of time before and after the CPI declared on the stock market short-term impact, and validation; In the event study based on analysis of the CPI increase month and CPI to reduce the rate of change of monthly stock returns polyline to study the CPI published a few days before and after the yield change, the date rate of return changes and volatility and impact of the cycle.