Cointegration Between Our Country Securities Market And Macroeconomic Analysis

The relationship research between the stock market and macro-economy has beenone of the important issues in the field of modern finance for a long time, and traditionaleconomic theory holds that the stock market is usually named a symptom of the nationalmacro-economy weather. The growth of a country’s stock market, particularly theemerging stock markets in the developing countries, undergoes through the primaryphase of sluggish stock price, the adjustment phase of market’s downturn, and themature phase of the improved market as well. China’s stock market is still a veryimmature stage of development, and affected more and more by the regulation ofdomestic macro economy. While many scholars have carried on lots of the theoreticalresearch and empirical analysis on the relationship between macro economic variablesand the stock market, local study mainly investigate the relationship between theindividual macro-economic variable and stock market. Thus the main purpose of thispaper is to systematically anlyze the relationship between the whole macro-economyand the China’s securities market.This paper selects the Shanghai Stock’s Composite Price Index as the study object,and selects the indicators of macro-economic variables gross domestic product (GDP),exports sum (EX), the national consumer price index (CPI), broad money (M2),exchange rate of the RMB against the dollar (AVE), Investment (INV) as theexplanatory variables, adopting the monthly data over the period2006to March2010todo the empirical analysis on China’s economy using co-integration theory. Due to thedata series of gross domestic product (GDP) existing seasonal effect, this paper firstproposes a model based on X-11process to do seasonal adjustments. Then the result ofthe unit root test, co-integration indicates that a long-term equilibrium relationshipexisted between the stock price index and macroeconomic variables. Specifically, aco-integration regression model with a set of pre-specified macrovariables was used tospecify the effect of the national Consumer Price Index and Currency Exchange Rate onthe stock price index in the context of the financial crisis.The results show: in the backdrop of the financial crisis, there exists a negative correlation between the Stock Index and the revised GDP, and from the co-integrationmodel, we find the consumer price index, exchange rate and currency have significantlygreater impact on stock index than investment and foreign trade (the regressioncoefficients of LCPI, LAVE, LM2greater than coefficients of LEX, LINV).