Empirical Study Of The Relationship Between Stock Index And Macroeconomic Variables

By the end of 2009, the total number of listed companies in China reached to 1718 (A shares),the investor accounts reached to about 120 million and the market value was up to about 24 trillion Yuan. The securities industry has become a mainstay of the financial industry. As the Chinese stock market expanded and the speed of financial innovation grew faster, whether the stock market didn't coincide with the economics and whether the Chinese stock market became the barometer of national economics are full of concern from the economists even the whole society However, both foreign scholars and domestic scholars'conclusions on this issue are different, which makes the relationship between macroeconomic and stock price gained more attention. Therefore, how to grasp the discipline of the volatility of Stock market correctly has theoretical and practical significance to our country, our government regulators, investors and even the academics.Compared to the mature markets in the developed West, Chinese stock market is a new market developing gradually from planned economy to market economy. Therefore, it experienced a change from the immature to mature stages of process. This article based on the stable Chinese stock market trading system, used the latest monthly data from January 1997 to April 2010 and focused on the relationship between Shanghai Composite index and macroeconomic variables (industrial added value, currency supply, expenditure, market interest rates, consumer price index, the HKD against the RMB exchange rate, exports). According to the stability of the macroeconomic variables, stable levels of industrial added value, financial expenditures and the market interest rate used multiple linear regression method to study the impact on the stock index; the first difference stable series:currency supply, consumer price index, the HKD against the RMB exchange rate, exports used Johansen cointegration test for long-term relationship and impulse response of short-term relationship.The empirical results show that the development of Chinese stock market and macroeconomic is adaptive, the stock price index to a certain extent can reflect the overall level of Chinese macroeconomic development and trends. From time point of view, the volatility of macroeconomic variables can not reflect the stock market on the same period, that's to say stock price indexes'responses to macroeconomic variables, has a certain degree of lags. From the direction point of view, money supply, the industrial added value has a positive impact; the consumer price index has a positive impact in short term, but in the long term it has a negative impact; market interest rates has a negative impact; HKD against the RMB exchange rate, exports, expenditure has a negative impact. The first four indicators are usually chosen for study and the conclusions of these four variables coincide with the theory. It shows from another perspective that along with the expansion and increase of market liquidity and market integrity, listed companies improved their profit, investors raise professional standards and investment philosophy. The stock market has entered into a phase of weak effective. Meanwhile, the "abnormal relation between stock market and economic" saying fall of its own naturally. The stock market's external environment factors HKD against the RMB exchange rate and exports inconsistent with the theory, mainly because of the specific national conditions of China. Listed Companies in China currently only represent a small part of the national economy, some large enterprises such as China Mobile, China Petroleum, China Construction Bank, Bank of Communications are all listed overseas which make our stock markets has Chinese characteristics. It can be easy to believe that while such large companies return to A-share market, Chinese stock market will be more overall, the barometer role of national economy will enhance.Relying on empirical results, while the Chinese stock market has been weak effective, the author proposed to strengthen the government's role of stock market regulator, complete law system of stock market, foster more institutional investors and the rational individual investors, in order to prevent speculative investment and other illegal activities effectively and to promote the effectiveness of the stock market. Now, problems with Chinese characteristics which caused the stock market and macro-economic relations can not become normal (such as the Chinese stock market can not be fully representative of the national economy, export-oriented enterprises in the market are less than other types).For this, the government should strengthen guidance to promote and encourage export enterprises become bigger and stronger; attract more overseas listed companies return to the domestic market, and promote more representative companies be on the market.