Do Volatility And Liquidity Imply The Information Of Economic Growth?

It is a new research field to extract information from the financial market. Security Market is an important part of the financial market, and it is the place where many investors trade the security. Based on the information that investors can get and the expected information, investors make their decisions. The result of the invest activity can be showed through market volatility, market liquidity and so on. Thus, market volatility and liquidity may imply important expected information of the investor, and the future state of the economic growth is important expected information, because they affect the future return rate directly. Based on this, this paper first analyses the reasons of security market volatility and liquidity imply the information of economic growth, and then tests whether stock market volatility and liquidity in China imply the information of economic growth.Stock market is the main part of our security market now. Though our stock market has a short history, after the development of twenty more years, it has a certain scale; especially after split share structure reform, the stock market has had a historic change in China. It took only five years for Chinese stock market to become the third largest stock market and the most active IPO market. According to the development experience of the developed country, when stock market has developed to a certain level, stock market volatility and liquidity both imply information about economic growth, so they can be used to forecast economic activity. Then, when our stock market has had a rapid development, do stock market volatility and liquidity imply information about the future economic growth? To what extent that they can explain? And what is the difference between their explain ability? This paper intends to research on these questions.This paper has five parts including the introduction:The introduction mainly introduces the background of the question and the significance of the research, the current state about the question at home and abroad, the research method, and train of thought and the structure, the key idea, and the contribution of this paper.In the second part, we show the reasons why stock market volatility and liquidity imply future economic growth, and summarize the conduction channel from the perspective of economics, which can be as the base for the following text.In the third part, we introduce the index and the design of the empirical study, including the stock market liquidity index and volatility index, and the connection between them, and the index of economic growth. At last we introduce the structure of the empirical study, mainly including the empirical methods that this paper will use.In the fourth part, we test whether stock market volatility and liquidity imply the information of future economic growth.In the fifth part, we give the conclusion and the policy advice according the conclusion.