Research On The Relationship Between Shanghai Stock(Shenzhen Component) Index And Economic Fluctuations Based On Varying Parameter Model

The stock market has been known "barometer of the national economy". Economic theory also pointed out that the stock market and macroeconomic performance is closely related to running. Economists measured by using a variety of different ways, researched the relationship between the world's macroeconomic performance and stock market volatility with a great deal of empirical.Many scholars confirmed this conclusion, but there are many scholars geted opposite conclusion:the stock market is running on macroeconomic divergence. How about the relationship between the stock market and macroeconomic in the end? From the moment the securities markets, the relationship between macroeconomic and stock market problem created on the attendant. Although there have been different scholars to explore the relationship between them, but so far, there are some differences the relationship study both in theory and empirically. This article is in such a context, with varying parameter model to analysis the relationship between macroeconomic and stock market. People often analysis the relationship with Granger causality test, VAR model, ARCH/GARCH models which have one common feature:parameters fixed, it is some limitations to the changed relationship between macroeconomic and stock market.The variable parameter model uses the premise that the parameters are changing which is more fitted to estimate the unstable relationship between macroeconomic and stock market. Therefore, this article based on variable parameters model analysising of the relationship between macroeconomic and stock market, using the same index, business climate index, money supplying, inflation rate of four indicators to represent the macroeconomic trends, and using Shanghai Stock Index and Shenzhen Component Index on behalf of the change in stock market.