CAJ | 학술논문

　　运用滚动样本和误差修正（ECM）模型检验了2001-2011年我国股票市场在不同样本期间的财富效应，在此基础上形成以下结论：我国股票市场在总体上存在财富效应，但其效果并不显著；短期内股市财富与社会消费相互影响，且股市财富对社会消费的影响在某些时段表现为替代效应；长期而言消费决定股市财富；我国股票市场呈现弱势有效市场特征，投机气氛较浓，影响财富效应的发挥。同时，就此提出了有利于发挥股市财富效应的相关措施。
　　운용곤동양본화오차수정（ECM）모형검험료2001-2011년아국고표시장재불동양본기간적재부효응，재차기출상형성이하결론：아국고표시장재총체상존재재부효응，단기효과병불현저；단기내고시재부여사회소비상호영향，차고시재부대사회소비적영향재모사시단표현위체대효응；장기이언소비결정고시재부；아국고표시장정현약세유효시장특정，투궤기분교농，영향재부효응적발휘。동시，취차제출료유리우발휘고시재부효응적상관조시。
The paper discusses the efficiency to Chinese capital market based on the wealth effect. It verifies the wealth effect of Chinese stock market in 2001-2011 with rolling sample and ECM method. After that the paper makes some conclusions:there is wealth effect in Chinese stock market in whole, Although it is yet not notable;in short term, stock market’s wealth affects consumption with each other , and the former has some substitution effect on the later in some times;in long term, it is stock market’s wealth that depends on consumption;Chinese stock market behaves as a semi-effective market and has too much speculation, which restricts the wealth effect of stock market . In the end, the paper gives some suggestions on exerting wealth effect.