Effect Of Macroeconomic Information On Chinese Stock Market Research

China’s stock market has developed rapidly these years. The launch of the share-trading reform resolved the market’s specific structural problems, and the reform is followed by a round of great development and expansion. The achievements are brilliant. However, there are still some problems exposed at the same time such as the lack of construction of the soft environment, corresponding laws and regulations, and low efficiency of the market etc. In order to explore the efficiency and maturity of Chinese stock market, this paper studies the effect of macroeconomic information on the stock market and investigates transmission modes of economic information to analyze and explain market efficiency.This paper investigates the impact of macroeconomic information on related stock indexes and individual stocks which were selected from the composite index, industry index and the relevant key listed companies in Shanghai and Shenzhen stock markets during the period of July,2003to June,2011. We do empirical analysis using the stochastic volatility models with macroeconomic information as independent variables and the technique of Bayesian Markov Chain Monte Carlo(MCMC).The empirical results show that the fluctuation of the composite index, industry index and the individual stock prices in Shanghai and Shenzhen stock markets has strong sustainability. Macroeconomic information has significant impacts on both the returns and volatilities of the two stock markets. Meanwhile, the effects of the same information on the composite index of Shanghai and Shenzhen markets are the same. Compared the macroeconomic information which is released regularly with those announced unexpectedly, we could not prove the latter to be more influencing. Among the regularly disclosed economic information, the impact of macroeconomic data issued by State Statistics Bureau is greater than that of the monetary data released by People’s Bank of China.Furthermore, the impact of the economic information in the data released quarterly by Statistics Bureau is greater than that released monthly. Comparing the influences of fiscal, monetary and industry policies, the data of fiscal policy has the strongest influence, then industry policy, and last the data of monetary policy. We also find that the effect of adjustments of the deposit reserve rate, which People’s Bank of China requests on Commercial banks, is much stronger than that of the change of interest rates, which indicates the feature of "Fund-pushed index" of our stock market.During the process of the transmission of macroeconomic information to the stock markets, part of the information transmits smoothly and reasonably and the market normally feedbacks. However, the other part deviates or departs from the normal track in the conduction process, which shows that the effectiveness of our stock markets is so weak that the stock price couldn’t react to all the macroeconomic information timely, completely and accurately.