In this paper, we will do empirical research about the interactive relation between the stock market and macro economic operation. All these demonstrate that Chinese stock market reflect the situation of macro economy to some extent, but for a long time the stock market is unable to normally reflect the fluctuation of the macro economy and there are evident unusual actions and deviation between the two. First, we will do Unit Root Test about the series of GDP growth rate and stock market index growth rate to make sure their stability. Then, we establish Vector Autoregression model, do Johansen cointegration test and granger causality test. From 1994 to 2004, stock market reflect the situation of macro economy. But from 1996 to 2004, there are evident deviation between the two. This paper mainly make analysis about the reason of the deviation between the stock market and the macroeconomic operation. We analyzed in very great detail from the aspects of the disadvantages of our stock market, government interference,the investment value of listed companies, the speculation of our investors , psychological expectation and so on. At last, we make suggestions to the development of our stock market ,wish our stock market can reflect the situation of macro economy well and point out deficiency in this paper. |