A Study On The Impact Of Macroeconomic Variables On The Stock Price Index

Macroeconomic variables are the most important factors influencingthe stock price index. Using the Vector Autoregression model andAutocorrelation Distribution Lag model, through Granger causality tests,Impulse response function and Variance decomposition, this paper analyzesthe impact on the stock price index of macroeconomic variables, such asGDP, M2, inflation, interest rate and exchange rate, as well as thenon-tradable shares reform, margin trading and short selling and stock indexfutures, IPO suspended policy.The result shows that all the macroeconomic variables granger causestock price index, but the influence of different variables on the stock indexis different. The correlation between money supply and stock price index ispositive and significant; The correlation between GDP and the stock index isnegative. With the gradual reform on China’s financial market, Chinesestock market is more and more effective. But due to the systematic andstructural limitations, China’s stock market is adverse on the economiccycle.The correlation between the non-tradable shares reform and stockprice index is positive, but the correlation between stock price index andmargin trading and short selling, as well as stock index futures and IPOsuspended policy is negative. This indicates that the non-tradable sharesreform makes China’s stock market more effective. Margin trading andstock index futures introduced later and limited by the strict policy, not yetplay the role of basic system. IPO suspended policy disrupts the marketexpect, but IPO suspended policy improve the condition for system reform, so when IPO restarts, stock index rises in the long term.Because of China’s stock market is influenced by policy very seriously,by considering the system reform and policy factors, the impact on stockprice index of macroeconomic variables conforms to the basic economicmechanism.