Research On The Correlation Between Stock Market And Realeconomy

The correlation between stock market and real economy in China has been or is plaguing many theoretical researchers and policy makers. Many scholars tried to select kinds of variables and establish kinds of models, but the result is not satisfied. One hand, it is because of the complexity of stock market; on the other hand, it is due to the EMH which previous studies based on. After reviewing the relevant literature, the paper thinks the EMH is unsutiable for our emerging capital marker. Relatively, some latest achievements of Behavioral Finance accord more with Chinese pratical situation. This study is based on Bounded Rationality, Group Behavior and Limited Arbitrage.This paper reveals the correlation between stock market and real economy in our country from the standpoint of cycle fluctuation. On empri- cal study, the uniform exponential, which issued monthly by CEMAC, works as the divided basis of Business Cycle instead of nominal GDP. The Economic Operation from January of 1991 to April of 2008 can be divided into four and a half cycles. According to the definition of Stock Market Cycle and the method of valley floor to valley floor instead of ready-made method in the Stock Technical Analysis Theory, this paper divided the Stock Market Operation into two and a half cycles. The comparison found that Stock Market deviates from lag Business Cycle and couldn't forecast the cycle fluctuation of real economy.This paper emphasises on reavealing the reason that Stock Market Cycle deviates from Business Cycle. Bounded Rationality, Herd Behavior and Limited Arbitrage are filled the stock marker,so it is not an effcient market. Meanwhile, our stock market has some specific phenomennen, such as policy market, split share structure,listed company defects,etc. So Chinese investors are perfer capital gains to dividend. In this case, anticipated dividend couldn't work as the intermediary of stock market and real economy, the policy factor becomes the main point of stock market fluctuation. By using the policy effect game model and unifying the history of our stock market, the paper proves this deduction. In the end, some feasible policy suggesitions are proposed to display the stock market's barometer function.Theoretical basis, research angle, variable selection, research process and research conclusion are the main innovative points of this paper. It also has improtant theoretical and realistic significance. The correct understanding to the correlation between stock market and real economy is favorable to formulate the feasible policy, forecast the market trend reasonably and realize the sustainable development of our stock market.