The Empirical Analysis Of The Impact Of Macroeconomic Factors On The Volatility Of Shanghai Stock Market

The stock market has been established for more than ten years in our country, and it has become an important part in Chinese economic situation. After more than ten years of development, it has got great achievements, even though the course is rather tortuous. While compared with the mature ones of abroad, the stock market in our country has its own problems, with those problems the government is hard to handle the marketing, and the investors do not know what course to take. Therefore, studying stock fluctuation of growing market and keeping informed on its fluctuating law has great theoretical and practical significance to the state supervisory sessions, the academic circle and the investors.People generally think that macroeconomic variable is one of the most important factors of stock price fluctuation, and becomes one of the factors of stock market risks. But while considering the relation between macroeconomic variable and stock market, local scholars mainly investigate the relation between single macroeconomic variable and stock price. So the purpose of this paper is contacting the whole macroeconomic and stock market to take into the system analysis. The development of co-integration analysis theory provides an emollient tool for studying the relation between economic variable and stock market. Co-integration analysis has got much attention from economists after its introduction by Granger in 1981.Because traditional analysis methods can only handle stationary series. The advantage of co-integration is that it can test the long-run equilibrium relation of non-stationary economic variables, thus offer the emollient proof for the establishment of the economic policy.Comprehensive price index of Shanghai stock is taken as study object in this paper, selecting exchange rate, interest rate, money supply, gross domestic product and consumption price index as explanatory variables, adopting month data over the period 1996-2008 to test co-integration relation. The result of empirical analysis indicates that there is a co-integration relation between stock price index and parts of macroeconomic variables, such as consumption price index, interest rate, exchange rate, but there is not a co-integration relation between stock price index and gross domestic product or money supply. This means that China's macroeconomic already affected to the development of the stock market to some extent. From the long-term, co-integration test reflects a negative correlation between the Shanghai Composite Index and the price index, interest rates. However, the final results show that the several macroeconomic variables are not the main factor of stock price changes after Granger causality test.