Positive Testing For Relationship Of Chinese Stock Market Index And Macroeconomic Operation

Chinese stock market went across almost 20 Years development, which has developed into the scale of thousands of listed companies, the gross shareholder value has exceeded GDP, and reached to one of the top four stock dealing markets over the world with 3 thousand billion RMB. It helps to improve the structure of Chinese money market and to a great extent wakes up Chinese people's investment consciousness.Although our market grows quickly, we still have a very big gap compare to the mature market of the developed country. Then, what on earth is the relationship among the statistical characteristic of Chinese stock price behavior, the influence on Chinese stock index by the macroeconomic variable, and the Chinese stock index & Macroeconomic operation ?This thesis firstly in theory demonstrates the function of stock market, analyzes the effect principle of GDP, residents consume price index, interest rate such 8 items of central macroeconomic variables works on the stock market and the stock market work on the macroeconomic, besides, expatiates the advantage and disadvantage of the stock fluctuate, explain the background and significance of this research.Secondly, this paper makes a demonstration on the daily yield series of Shanghai share index and Shenzhen share index by using the VAR model, and demonstrates the dissymmetrical character of the monthly share index yield series fluctuate, which educes that the share index fluctuate has clustering phenomenon as well as risk overflow effect and lever effect.Thirdly, the Granger causality test on 8 items of central macroeconomic variables and share index shows the effect relationship between them, sequentially, to explain the fluctuate relationship between share variable and macroeconomic variables by establishing binary invariable fluctuate rate model for the separated stable list.Finally, after proving the long time harmonizing relationship exist between share variable and central macroeconomic variables with Johansen coordination on them, the multi-variable VAR model was established to prove the computation relationship between them, moreover goes deep into the analysis by using the impulse response function and variance decompose method.