Empirical Study On Relations Of Shanghai Stock Index And Macroeconomic Variables In China

China stock market has experienced four distinctive periods:the first period from May,1987 to March,1992 with characteristic of local market;the primary national market from April,1992 to June,2001;the gloom market from June,2001 to the end of 2005;and the developing period from 2007 to now.During more than twenty years,the stock market has a lot of fluctuations such as Shanghai composite index from the bottom point of 998 in 2005 to the apex point of 6124 in October,2007,with more than 500 percent increase.And the steep fall as follows of 65.39%decrease in Shanghai composite index and of 63.36%decline in Shenzhen composite index,which has fallen by their most in at least 18 years.Such sudden changes in a short period not only result from the characteristic of the stock market itself but also are influenced by external macro-economic.In 1976,Ross found the arbitrage pricing theory(APT) which thinks that macroeconomic variables have impacts on the stock returns.Are there any relationship between macro-economic variables and Chinese stock market? This is main research object here.In this thesis,23 macro-economic indexes are chosen to represent the whole macro-economic performance comparatively.We use those indexes and Shanghai composite index to build models to analyze the relations between macro-economic variables and the stock market,the main aim is to propose some suggestions for developing Chinese stock market well.The thesis consists of seven chapters:the first chapter mainly states the research background,research significance,research methods and framework.The research results,given by scholars in abroad and home,about the relations between macro-economy and stock markets are reviewed in chapter 2.The third chapter is mainly about the theoretical results,we summaries the related theories and some assumptions about the relations between macro-economy and stock markets.The empirical methods used in our study are introduced in the fourth chapter.In chapter 5, we use some econometric methods to study the relations of 23 macroeconomic variables and Shanghai Stock Index.Furthermore,the relations between some important macroeconomic variables,which include in the first public factors and Shanghai composite index are studied in chapter 6.The last chapter is devoted to compare the theoretical analysis and the empirical analysis and propose some suggestion for existing problems.