Studies On Stock Market Stability And Relevant Impact Factors In China

With the development in the recent 30 years, the stock market in our country, which has had a considerable scale, plays a more important role on the real economy, and has become a powerful force in our country's economy. To achieve a constant, healthy and stable development cannot do without the strong support of a stable stock market. The relevant research in stock market stability has gradually become one of the hot spots which the academia plays close attention to. Based on the domestic and foreign relevant theories and research, this paper focused on empirical analysis and treated the stock market stability in our country as the main theme. The next, by constructing a SVAR model, this article analyzed the influence on Shanghai stock market which was caused by four macroeconomic shocks—output gap, inflation, consumption, and interest rate, and ultimately provided references for the establishment and research of the relevant policies in our country.Firstly, according to the definition of financial market stability giving by Baur and Schulze (2009), the article made an on-the-spot investigation on the stability of Shanghai stock market and Shenzhen stock market on the basis of Shanghai composite index and Shenzhen composite index since January 1999, by using a method which is called quantile regression to analyze the different locations of conditional distribution of the stock market returns. At last, it comes to a conclusion that our country's stock markets are instable.Furthermore, this article focused on exploring the influence on Shanghai stock market causing by macroeconomic shocks. In this paper, by using sample data of 65 quarters from 1994 Q1 to 2010 Q1,a SVAR model with five variables was constructed. Based on the influence on Shanghai stock market, which caused by the four macroeconomic shocks—output gap, inflation, consumption, and interest rate, this model made impulse response analysis and variance decomposition analysis. It is worth mentioning that this article did not solely exert short-run or long-run restrictions on the identification of SVAR model, but combined them to make the model fit economic theory much better.Through the above-mentioned research, it came to a conclusion that the shocks from output gap and interest rate would have an important impact on Shanghai composite index returns. Therefore, this paper suggests that our country should both implement stabilized policy to lower the fluctuation of output gap efficiently and deepen the course of the market-based interest rate reform which will make the market interest rate to reflect real market situation. Furthermore, the stock market should try hard to promote the overall quality of listed companies, strengthen the education on investors, and make great efforts to find out a suit of stock market risk management system that fits our national condition well. In this way, our country's stock market can keep a constant, healthy and stable development.