The Dynamic Relation Among Different Industry Groups Of China’s Stock Market And Its Explaination Of Economic Factors

In the stock market,an important phenomenon that the stock market structure has changed significantly is as follows:The time of rise and fall together has been replaced by that of the board movement. In addition,in recent years,because of the impact of changes monthly in macroeconomic factors such as the CPI and commercial bank deposit and loan interest rates,the chain reaction among finance,real estate,consumer plates and other relevant industry groups appears to the characteristic of dynamic relation,and factors of investors’sentiment also increasingly become an important factor in the overall performance of the stock market.Therefore,the study of dynamic relation between different industry groups and the influence on that from different economic factors is practically necessary for stock market investment.This paper, according to the development of China’s stock market,contains the research of dynamic relation among industry indexes.lt focuses on Granger causality and conditional correlation among industry groups and the influence on dynamic relation.Firstly,combining with the previous theories,this paper proposes theoretical assumptions of dynamic relation among industry indexes.Secondly,we choose month income datas of Shenzhen Stock Exchange Level1industry classification index from wind database and get the smooth series with logarithm processing.In the dynamic relation test,according to dividing the entire sample period into four stages which depends on the fluctuations of the market earings,we find the dynamic relation between any two industry groups.Then,the article introduces BEKK model to get the conditional correlation throughout the whole period by using Ox Metrics software.The empirical study finds that, most of the dynamic correlation coefficient are greater than0.5, indicating a relatively high degree of dynamic relation.In addition,there are significant dynamic relation among different industry indexes,which is affected by the different types of economic factors. Subsequently,through the regression analysis which is concerned with describing and evaluating the relationship between different economic factors and the conditional correlation,we find that different factors have impact on the conditional correlation differently. In particular,the same type factors may have effects of different directions.Finally,for the better development of China’s stock market in the future,we propose some forward policy suggestions in aspects of institutional investors,speculators,government and regulatory authorities.