The Comparative Analysis Of The Period Between Security Market And Macroeconomic In China

As the most important part of the capital market of our country, the security market of our country is developed with the establishment of the market economic system of our country, thus it also carried the brand of planned economic system inevitably. The major reason is the drawback of the relevant theory of the security market at the beginning of its establishment, and the market establishes and develops under the system of socialism market economy. Our country is now being in the transformation course from planned economic system to market economic system. The marketing level of national economy isn't very high. The security market of our country grew up under this background as the burgeoning capital market. The security market is the highly marketing place, so there is inevitably a close relationship between macroscopic economic operation and the security market. How to develop the security market and promote it coordinate with macro-economy under the lowly marketing level of macro-economy, is the important theoretical problem that faced by governors who are the operator of macro-economy adjustment in our country. To these problems, the thesis has determined this program, which is "The Comparative Analysis of Volatility Period between Security Market and China Macroeconomic in China".The thesis has reviewed the history of studying on the volatility period of security market and China macroeconomic at first. Effective market hypothesis, divided-shape market hypothesis, etc offered theoretical supports to studying on the fluctuation of securities market and macroeconomic. The evolving quantitative analysis model offered an experiential research tool for studying on the fluctuation of securities market and macroeconomic. The scholars that study on the volatility period of security market and macroeconomic offered the thinking clue and the analytical platform for my thesis.The preface has introduced the background of the research, meaning, research methods and research process, and has briefly introduced the content and the structure of the thesis, data source, analyzing period and data processing software. This paper has removed linear trends and correlation of China securities market data and macroeconomic indicators-GDP through HP-Filtration and autoregressive moving average (ARMA model), then study non-period cycle by means of nonlinear method R/S, analyzing the convergence and betrayal of China securities market and macroeconomic and the specific reasons for this situation through research China securities market and macroeconomic cycle.The chapter 1 has reviewed the literature of the volatility period of security market and macroeconomic, and has briefly introduced the modeling models used in the thesis. The relationship between stock market volatility and macroeconomic volatility has been an important topic in financial and economic research and a hot issue. For the discussion of the relationship between macroeconomic and financial market volatility, we should trace the source of the controversial issue the role of finance for the real economy, the discussion on this issue, the answer western scholars got from different perspectives and research methods was not unanimous, which can be divided into "negative" and "positive" viewpoints. "Negative" as Robinson regards financial development as a passive enterprise expansion pack, instead, "positive" think we can't fully deny financial role in economic growth without a full understanding of economic growth. R/S analysis is a time series analysis method proposed by Hurst to analyze long-term memory and non-period cycle, as R/S analysis is more adept at testing the cycle or non-period cycle of nonlinear data, it is necessary to use time series analysis methods to remove serial correlation and linear trend items first and test non-period cycle again, we should remove linear trend and linear correlation by means of HP-Filtration and ARMA model, test the stability of residual through ADF test. We discuss the linear causal relationship between the macroeconomic variables and stock index by the way of bivariate Granger causality test, and to observe the impact of each other, which is a basis of reference variable sequences in the Co-integration test. This paper examined the long-term stability relationship between macroeconomic and securities market and the impact between long-term balance and short-term fluctuation by Johansen co-integration test model and error correction model.The chapter 2 is main part of this thesis, testing the volatility period dissimilation between security market and China macroeconomic, we analyzed the relationship of volatility between China security market and China macroeconomic based on non-period cycle by means of HP-Filtration, ARMA model ,and R/S analysis , Granger causality test, VECM model. We found that the fluctuation of securities market of our country presents the downward trend, Kitchin Cycles in China macroeconomic were changing into Juglar Cycles, the average length of China macroeconomic is longer than that of China security market with 3 times. Moreover, both of them, the H indexes are more than 0.5, which means that they both have persistence of state. The security market is easier to reverse than macroeconomic because of its smaller H index. Third, in terms of the relationship between securities market and macroeconomic, our VECM model shows that the positive correlation between stock index and Consumer Price Index, M2, the negative correlation between security market index and Revenue, Interest rate from a long-term relationship, and stock index is affected by the volatility of itself, financial expenses, GDP, investment in fixed assets, rate, consumer price index, M2, revenue, deposit rate from a short-term relationship.In chapter 3, concentration on the differences of fluctuation cycle forming mechanism between China stock securities and China macroeconomic. China macroeconomic fluctuation cycle is the results of the balance of aggregate supply and aggregate demand under the government'smacroeconomic control policy. China securities market fluctuation cycle isaffected by it's own situation, investment and financial policies of thegovernment, the structural problems deep-seated in securities market system.the question reflected in the fluctuation of securities market of our country iscomplicated, and it is the results of many kinds of factors acted on together,because the development of securities market is unripe, especially in thebuilding time, the fluctuation of securities market reflects a great deal ofquestions involving the rule of law, government action, market structure,market service system, etc. It is necessary that analyze how to solve theproblems existed in China's securities market, but the train of thought and theaction should based on national condition, should be compatible with thecoordinately developing goal of China's securities market, should promoteChina's securities market to develop healthily and continuously. In the aspectof the laws and regulations of market system, we should perfect the existinglegal system constantly, not only fill in the blank which makes it adopt to newchange, but also make it have operating nature that can turn the principle intoconcrete yardstick. The relevant laws and regulations should be in harmonyat the same time, can't conflict each other. It should keep the legislationstaying in leading position, should use the successful experience on theinternational ripe market for reference, so that we can meet and prevent newproblems. It is the duty of the government that adjusting and supervisingsecurities market. The government should continuously implementcentralized-supervision, perfect the supervising organization system. Thegovernment must standardize its own behavior, making clear the goal,considering synthetically, and dealing with problems cautiously. It isnecessary that establish the correct idea of government behavior, administerthe state according to law, and give play to the self-discipline organization. Itshould continuously perfect legal person governance structure and the mechanism of supervision and management in listed company, perfect the system of modern enterprise, develop the organization investor greatly, standardize investor's behavior, try to open stock index future on the variety of trade, and perfect market system. We should keeping on developing the business of the securities service, and standardize securities accountant team and securities analyst team.