The Relationship Between Stock Price Index And Macroeconomy In China

The relationship between stock market and economic growth has been the focus in the economic study field all the time.From this the relationship between stock market and macroeconomy also becomes the issue in the current research.Based on the exsiting theory and forefather's study,and using the econometrics method,such as cointegration test.granger causality test,impulse response function,on the latest data this paper studies the relationship between stock market and macroeconomic of our country from the perspective of empirical research.And it makes a conclusion that there is a cointegration relationship between stock market and macroeconomic of our country,but the stock price index just reflects the economic gradual progress trend passively.Besides.it also makes a conclusion that the central bank should select the intrest rate as the intermediary variable timely.This paper is divided into five parts:In section 1,it sets out the background and significance to the study,and summarizes the related domestic and foreign's literature about the relationship between the stock price index and macroeconomy.In section 2, it is the related theoritical analysis.It mainly elaborates the basic theory and analyzes the influence of macroeconomic variable to the stock price index.And the section 3 describes the relationship between the trend of China's stock price index through the use of charts and other statistical data analysis,The section 4 is not only an empirical analysis,but also the core of this paper. This paper selects the latest data and establishes the VAR model using the econometrics method,such as ADF test,cointegration test,granger causality test, impulse response function etc to carry on the empirical analysis of the relationship between the stock price and macroeconomic variable.It makes a conclusion that there is cointegrating relationship between the stock price index of our country and macroeconomic variable,but the stock price index just reflects the economic gradual progress trend passively,and it can't play an economic barmeter function yet. Besides,it also makes a conclusion that there is a negative relationship between money supply and stock price index and the relationship between interest rate and stock price index is closer.Combining the actual condition of economic development of our country this paper provides a corresponding explanation to the conclusions of the empirical analysis.Section 5 proposes some corresponding policy recommendations,insufficiency in this paper and the prospect of research in the future.In this paper,the innovations embody in the following aspects:First,using the latest data.This paper selects the data from 1^st quarter of 1997 to 3^rd of 2008.It makes the data in empirical process more overall and has practical significance even more, and makes the conclusions of this paper more convincing and reliable.Second, applying the cointegrating analysis method.During the empirical process,this paper apply the Eviews5.0 software to carry out cointegrating analysis on the data. Consequently,the possible "Pseudo-return"phenomena do not arise.Third,the innovation on the conclusion.According the research of this paper,it obtains that the stock price index just reflects the economic gradual progress trend passively,besides, the relationship between interest rate and development of stock market is closer,so the central bank should select the intrest rate as the intermediary variable timely.