Study On Effects Of Macroeconomic Variables On Chinese Stock Market Price Behavior

The relationship between macroeconomic factors and stock market price behavior is one of the hot spots that financial economics is interested in. Most of the domestic literatures focusing on this issue are under the frame of macroeconomic theory. Some of the foreign literatures start to study it based on financial market microstructure characterized by market maker trading system. However Chinese stock market microstructure is different from that of foreign markets in many fields, so their existing study methods cannot completely fit to our stock market research. According to market microstructure theory and Chinese stock market unique feature, the dissertation studies the effects of macroeconomic variables on stock market price behavior in China. The main contents of this study are as follows:(1) Using Vector Autoregression, Granger casualty test, Impulse Responses Analysis and Variance Decomposition technology, we study the long term effects of macroeconomic variables on Chinese stock market price behavior. The result demonstrates that the impact of practical economical operation on variation of stock market is not significant. Among various macroeconomic variables, only Fixed Asset Investment Completeness Ratio, Consumer Price Index, Monetary Policy Indicator M1, and Open Market Operation have significant long term effects on Shanghai and Shenzhen stock market return.(2) Based on improved AR(1)-EGARCH(1,1)-M model, we investigate the short term effects of macroeconomic variables on stock market price behavior from points of stock return and stock return volatility. The results indicate that except for the effect of Fixed Asset Investment Completeness Ratio on Shanghai and Shenzhen stock market return, General Retail Price Index on Shanghai stock return, and Urban Residence Income on Shenzhen stock market return, the relationship between other macroeconomic variables and stock market price behavior is insignificant.(3) The dissertation investigates the change of liquidity in Chinese stock market around macroeconomic variables announcement by employing event study. The study indicates that there is no significant liquidity change in Chinese stock market before macroeconomic variables announcement. The impacts of macroeconomic variables announcement taking place at noon and during trading time on market liquidity are similar. However the effects of macroeconomic variables announcement taking place over night are different from that of announcement taking place during trading time.(4) Using Shanghai stock market high frequency trading data and LSB model, the...