Stock Index And Macroeconomic Variables Co-relationship Of The Empirical Analysis

Along with the stock market scale of China extends continuously and trade controlmatures increasingly since 1995, the operation of Chinese stock market constantly movesforward to the normal direction. But stock exchange of China is still an immaturedeveloping stock market. Like many other developing stock markets around the world,market behavior is influenced by lots of economic and non-economic factors. There isstill not a nationally uniform stock market. At the same time, the local scholar carries onthe theories research and the empirical analysis on the stock market. People generallythink that macroeconomic variable is one of the most important factors of stock pricefluctuation, and becomes one of the factors of stock market risks. But while consideringthe relation between macroeconomic variable and stock market, local scholars mainlyinvestigate the relation between single macroeconomic variable and stock price. So thepurpose of this paper is contacting the whole macroeconomic and stock market to takeinto the system analysis. The development of co-integration analysis theory provides anemollient tool for studying the relation between economic variable and stock market.Co-integration analysis has got much attention from economists after its introduction byGranger 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 ofnon-stationary economic variables, and provide correspond error correction model toreview the short-term influence relation, thus offer the emollient proof for theestablishment of the economic policy.Comprehensive price index of Shanghai stock is taken as study object in this paper,selecting merchandise price index, import and export sum, bond, exchange rate, domesticloan, circulate medium cash, currency and precise currency, and consumption price indexas explanatory variables, adopting month data over the period 2000—2005 to testco-integration relation. The result of empirical analysis indicates that there is aco-integration relation between stock price index and parts of macroeconomic variables,such as import and export sum, bond, exchange rate, domestic loan, currency and precisecurrency, and consumption price index.