Empirical Studies Of Macroeconomic Information On The Impact Of The Stock Market Rate Of Return

The stock market is a"weatherglass"of the macro economy. On a sufficiently efficient market, the changes of macroeconomic variables are surely to be reflected by the changes of stock price. This paper makes analysis on the relations between five macroeconomic variables and the rate of return of the share market, both in the short run and the long term.Firstly, the empirical results from an Event Study indicate that there are abnormal returns significantly different from zero before the Event Date, which show possibilities of disclosure of the information and the inefficiency of Chinese share market. As for days after the event date, the share market can make adjustments towards the price reversely, and the announcing effect can be absorbed within a reasonable period of time. In this word, the whole share market is not absolutely inefficient. Compared with GDP, CPI and Fixed Estate Investment, the market is less sensitive to Industrial Product and M1. Overall the event window, all the information concerning the five macroeconomic variables has little accumulative impact on the market. It is explained that modifications of the market participants'expectation together with contrasts of various market forces offsets the impact of the macroeconomic information。The subsequent Multiple Linear Regression indicates that in the long run GDP has a positive relation with the share market, together with M1 and CPI having a negative relation with the share market. Therefore, it can be concluded that Chinese stock market is somewhat lacking efficiency, but it can still mirror the macro economy to some extent.