Research On The Relationship Between Stock Market Cycle And Macro Economic Cycle In China

In modern financial market, the stock market is an important part of the indispensable. It has been regarded as the "barometer" of the economic development. The development of the stock market on economic growth, the reform of market mechanism and the growth of enterprises have an important role. In modern financial market. shows that the relation between stock market cycle and economic cycle cycle closely. Operation of the economy itself is the most fundamental cause of the fluctuation of the stock market. In theory, operation rules of stock market and macro economy should be consistent with the trend of macroeconomic changes, will cause the stock market fluctuation, and the cyclical changes in stock market and in response to the economic trends, and influence the direction of development of the national economy. So the relationship between the economic cycle and stock market cycle analysis can help us to accurately grasp the operation of the economy and the stock market Laws, and also provides a theoretical basis for the government to formulate macro-control policies and promote the healthy development of the stock market.The growth rate of GDP quarter of Shanghai stock index and quarterly earnings rate on the stock cycle and economic cycle. The first is the interference Census-X12 processing to remove seasonal factors and irregular factors on the GDP quarterly data, then the trend factors and cyclical factors separated by H-P filter, get the economic cycle, the Shanghai Composite Index with H-P filter the trend of factors and cyclical factors are separated, the stock market cycle and make a preliminary analysis of graphics, consistent with a certain degree of two in the long term. Then the two empirical analysis, empirical analysis part is first analyzed from the full range, and the sub period analysis. In the whole period. The first is to GDP growth rate and the stock return time series were analyzed by ADF test, in order to determine the stability of the two sequences, followed by the establishment of vector autoregressive VAR model, and then the Model of Granger causality test, impulse analysis and variance analysis, get in over a long period of time, the stock market cycle can guide the economic cycle, but effects of the economic cycle to the stock market cycle is not obvious. Found in sub periods of the study, in the sub period economic cycle and stock market cycle in the long term does not exist cointegration relationship, namely the operation deviation. And the above analysis found that the two although has the certain degree of convergence in the long term, but in the individual time also has a significant departure from.Focus on the analysis of the reasons of China’s stock market cycle and the economic cycle, from the reason of China’s economic growth has its own deficiencies, the stock market operation, government intervention and supervision system and investment Speculative behavior, psychological expectations, and other aspects of the detailed study.Finally, for the growth of China’s economy, stock market’s healthy orderly development and puts forward some suggestions to China’s stock market can effectively play economic "barometer" of the role, also pointed out the deficiencies.