Asymmetric Effects Of Macroeconomic Shock To Stock Market

As the reform and opening up of China, Chinese economic developed rapidly. At present, Chinese economical scale has already surpassed Japanese economical scale, ranking the second place in the world. As the growth of economical scale, the capital market has gradually formed a completely financial framework, with various types of financial products maturing. As an important part of the stock market, the capital market has developed rapidly and established an important station in the national economy recently. For the relationship between the stock market and the real economy, Fama thought that the stock market is a barometer of the national economy. But for China’s stock market, some studies concluded that the stock market didn’t have obvious relationship with the real economy. In fact, China’s stock market trend often goes against the macroeconomic situation. For example, in 2007, with the outbreak of the global economic crisis, the stock market reached its highest point of 6124.04 points. From 2009 to 2012, GDP growth rate was at 7.5% stably, while the stock market fell into a three-year shock state. In 2014, China’s economy facing structural adjustment, the index of retired real estate and PMI were always below the long-term fortunes of the dividing line, while the stock market opened up into the bull market. Moreover, facing the impact of monetary policy, the stock market trend also came out asymmetric reactions. For example, interest rates increased seven times in 2007, while the stock market rose sharply; interest rates decreased in 2014, while the stock market came into a new round of bull market. As a result, the relationship between the stock market and macroeconomic economists has always been a highly controversial topic.Most existing studies focus on the relationship between the actual controller and business conditions and the relationship between the stock market and economic fluctuations. Few people study the stock market from the perspective of the actual control of the stock market. That means few people study the stock market from the relationship between the fluctuation of the stock market of the nature of different actual control of listed companies and the macroeconomic volatility. Based on existing research, we provide two improvements. Firstly, by studying the relationship between stock prices of different nature of the actual control of listed companies and macroeconomic situation, we provide some reasonable explanation of the phenomenon that the stock market trend goes against the macroeconomic situation. What’s more, from the perspective of financial indicators, we make a more detailed analysis of the reasons for this deviation. Secondly, we gather four variables with different frequencies--stock price, the actual control nature, macroeconomic variables and financial position into the same analytical framework to resolve these problem, to provide a more comprehensive analytical framework for the stock market.Appling SFAVAR model, by studying the relationship between stock prices of different nature of the actual control of listed companies and macroeconomic situation, we provide some explanation of the deviation of economic fluctuations and stock market trends entity. From the empirical analysis, we found that facing the impact of interest rate factors and the real economy factors, state-controlled enterprises stock index and private holding companies stock index suffered from different reactions; facing shock of the real economy factors, state-controlled enterprises stock index showed a negative impact. Facing the shock of interest rate factors, state-controlled enterprises stock index showed a positive reaction. Moreover, from perspective of retained earnings assets, facing the shock of the interest rate factor, the share price index with relatively high retained earnings assets of the state-holding enterprises shows more obvious reaction.