The Operating Characteristics Of China’s Stock Market And Its Correlation With Macroeconomic Volatility

After20years of construction, China’s stock market has gone through ups and downs andtwists and turns of groping, all the way to thrive trials and hardships, the scale has expanded rapidlyleap forward in the ranks of the world’s top five largest stock market. The prosperity and stability ofthe stock market plays a decisive role in the process of building a socialist economy, it is not onlyimportant responsibility of carrying the financing of capital market financing, but also shoulder theburden of reasonable adjustment of resource allocation and control of financial risks, but also themajority of investors and socio-economic activities of participants is expected to be confident aboutthe future macroeconomic important guarantee. More and more attention from investors as stocks,bonds and other securities investment tools, the development and standardization of the stockmarket in the macroeconomic system also plays a more and more weight status. Economic circlesand financial circles, many scholars believe that the close relationship between the stock marketprice volatility and macroeconomic volatility, depth theoretical research and empirical test of therelationship between the two, which is conducive to the development and standardization of thestock market, help improve and perfect capital markets, has a crucial role in promoting the socialistreform and economic construction. Therefore, the economic and financial circles in recent years,more and more concerned about the relationship between price volatility and macroeconomicvolatility of the stock market, as well as the study of the mechanism of action.The capital market plays an extremely important role in the macroeconomic process. As animportant part of the capital market, the yield of the stock market fluctuations affect the degree ofstability and prosperity in the development of capital markets, thereby affecting macroeconomicperformance. Therefore, the relationship between macroeconomic volatility and the volatility of thestock market yields very closely in order to analyze the correlation between macroeconomicvolatility and stock market yields, in this article not only describes the characteristics of China’sstock market run, and introduced The yield of the stock market volatility and correlation of realoutput fluctuations theoretical model, also introduced the transmission mechanism between theyield of the stock market volatility and macroeconomic volatility, and analysis of the economic effects of price fluctuations in the stock market.The analysis of the theory of China’s financial markets is an important prerequisite to describethe characteristics of China’s stock market run further empirical test the correlation betweenmacroeconomic volatility and the volatility of the stock market yields. In this article, we refer to theCopula-GARCH model to describe the characteristics of China’s stock market run.Copula-GARCH model parameter estimation, once the most widely used is a two-step optimization(IFM) estimation method. However, the model studied Once the sample size is small, IFM methodwill appear larger estimation bias. In this paper, a multi-step optimization (MBP) estimationmethod to estimate the Copula-MGARCH model, and to study the related issues in China’sfinancial markets. MBP estimation method the complex logarithmic likelihood function is dividedinto two parts, part of the likelihood function independent marginal distribution function under therelevant conditions; another section contains the relevant parameters of the multivariate likelihoodfunction. The test showed that the Copula-GARCH model parameter estimation, compared to theexact maximum likelihood estimation method, multi-step optimization estimation method is simpleand effective, and to describe the characteristics of China’s stock market run a more detailed andaccurate.China’s Shanghai stock market and Shenzhen stock market return series analysis is animportant foundation to study the correlation between the yield of China’s macroeconomicvolatility and stock market fluctuations. This article uses at home and abroad in recent years a largenumber of long-term memory test proposed in the literature approach to their research, thesemethods include the ARFIMA models maximum likelihood estimation FIGARCH model maximumlikelihood estimation and ARFIMA-FIGARCH model pole maximum likelihood estimate byempirical test results show that the time-varying volatility and long-term memory of the Shanghaistock market and Shenzhen stock market return series. This result has laid an important foundationof the association between the study of macroeconomic fluctuations and fluctuations in the stockmarket yields.Interaction effects between the association between the fluctuations of the studymacroeconomic volatility and stock market yields and both for the judgment of the turning point ofChina’s macro-economic cycle, identify the expansion of China’s economic development andsystolic and help China’s economic development stage to take a different economic policy trend hasimportant economic significance to promote the prosperity and stability of the stock market and thesustained and healthy development of economic construction.Relationship between empirical examination of macroeconomic volatility and stock marketgains rate fluctuations, we use the unit root test methods, VAR model approach, Granger causalitytest, impulse response function and variance decomposition method other econometric learningmethods, relevance and interaction effects between the study of macroeconomic volatility andfluctuations in the stock market yields, and found that when the economy is in a recession, the stock market price index will sync gradually fell, while the gradual economic recovery when thestock market price index will sync gradually rise. At the same time, we also noted that the volatilityof the stock market price index fluctuations duration showed different effects on themacro-economic growth in the different stage of the economic cycle of growth.The study of the correlation between the fluctuations in the volatility of macroeconomicvariables and stock market yields, is an important tool of macroeconomic volatility effect of pricevolatility on the stock market. In this paper, the inter-bank lending weighted average interest rate ofthe monthly data on behalf of the nominal interest rate (IR), using monthly data on behalf of theweighted average exchange rate of the RMB against the U.S. dollar nominal exchange rate (ER),money supply (M1) represent the amount of money supply growth in the number of year-on-year atthe end of monthly year-on-year growth rate (M), at the same time using the data of the monthlyreturns of the Shanghai Composite Index (SH) and the Shenzhen Composite Index monthly returns(SZ) data, the use of the unit root test methods, VAR model method, Granger causality test methodsimpulse response function and variance decomposition methods econometric methods detaileddescription of the macroeconomic variables impact of fluctuations in the price fluctuations of thestock market, found that the fluctuations in macroeconomic variables between the price fluctuationsof the stock market effect and mechanism, further Prove that the correlation betweenmacroeconomic volatility and stock market fluctuations in yield.