The Impact Research Of Macro-economic Indicators On Stock Price Index Of China

Finance is the core of modern economy. As one of the vital capital market of financial markets, the stock market's operation and development not only influences the development of the national economy, also reflects the perfection of market economy system. The condition of macro-economy is the conclusive factors of the stock market. So, it is significant to research the impact of macro-economic indicators like GDP growth rate on stock price index.The paper is divided into four chapters. Chapter 1 is introduction, it tells the scientific problem, the paper's background and significance, the current research and problems, as well as the paper's content and framework. Chapter 2 illustrates the principle and stages of screening macro-economical indicators, includes multiple collinear tests and forward selecting variables method. Chapter 3 illustrates the impact model's principle and stage of macro-economical indicators on stock price index, includes the long-term impact of macro-economical indicators on stock price index based an ordinary linear regression model and short-term impact of macro-economical indicators on stock price index based an error correction model. Chapter 4 is model construction of the impact of macro-economical indicators on stock price index.The main work of this paper lines in three. Firstly, this paper deletes indicators with repeating information by multiple collinear tests and deletes indicators with little impact on stock price index by forward selecting variables, and ensures the constructed indicator system has significant influence on stock price index. Secondly, this paper sets up the formula of macro-economical indicators and stock price index by ordinary linear regression method to reflect the long-term impact of macro-economical indicators on stock price index. Thirdly, this paper sets up the formula of t, t-1,..., t-p period of the macro-economical indicators and the t period stock price index by error correction model to reflect the short-term impact of the passed and present macro-economical indicators on the present stock price index.The special and contribution s in this papers lines in three aspects. Firstly, this paper calculates the residual sum of squares of regression equations of deleting and not deleting the specific indicator respectively to construct the partial F test, which reflecting the influence of this indicator on stock price index, and reserves the indicators which pass the partial F test and delete the others to ensure the constructed indicator system has significant influence on stock price index. It changes the current researches'problem of selecting indicators subjectively and getting indicator system without reasons. Secondly, use co-integration analysis and ordinary linear regression method to set up the long-term impact formula of macro-economical indicators on stock price index, set up the formula of t, t-1,..., t-p period of the macro-economical indicators and the t period stock price index by error correction model to reflect the short-term impact of the passed and present macro-economical indicators on the present stock price index. It changes the current researches'problem of just researching the short-term or long-term impact of macro-economical indicators on stock price index. Thirdly, this paper uses HS300 index as the research object which reflects the trend of stock market price in large, and changes the current researches'problems of using indices which reflecting the Shanghai exchange and Shenzhen exchange respectively, such as Shanghai Stock Exchange Composite Index and Shenzhen Exchange Component Index.