Stock index measures stock market price level and its volatility.It also reflects a country or regional economic development. The influence factors of stock index have been the most covered theoretical and practical reseach subjects. And SHSZ300 stock index has been chosen as the primary stock index future due to its fully coverage of stock markets and industries.In this paper, we select macroeconomic, industrial indicators and foreign market stock index as the factors to analyze their impact on SHSZ 300 index, including the money supply growth rate, the inflation rate, RMB exchange rate, housing prices index ,and US Dow Jones index .We employ ADF test, Co-integration test, and Granger causes and consequences analysis.The results showed that the variable sequences are non-stationary time series. And they are cointegrated with the SHSZ300 stock index . Based on these previous tests ,VAR model Impulse Response Function and Variance Decomposition analysis are employed for further study to give the forecast results . The primary conclusions are as follows: China's macro-economy has decisive impact on the stock market ;The monetary policy transmission channels are open;Changes in the rate of inflation are negatively related to the initial stock index;Housing prices index prices can significantly influence the stock index .We also provide relative policy recommendations. |