Research Of Relationship Between Stock Market And Macroeconomics In China Based On ARDL Model

When a country’s economy has developed to a certain stage, stock market emerges, in return, the development of stock market promotes economy, so in the developed countries, stock market is generally considered as the "barometer" of macroeconomic. China’s stock market has been through rose and fell since it was built, and it was usually considered not to have the barometer function, but as nowadays, but after 20 years of development, it is necessary to redefine the relations between stock market and macroeconomic variables. At the same time.the Hong Kong stock market.as the representative of the mature stock marketcan provide the reference for the development of mainland stock market.Based on this, this paper uses ARDL model to analyze the relationship between the stock market and macroeconomic variables. Stock markets include Shanghai stock market and Hong Kong stock market. Monthly data selected from 2007 to 2013, including 10 variables, in particular chose international variables to representative the international interest rate market, international stock markets and international trade market in the purpose of reflecting the current situation of economic globalization.The results found that the two stock markets as a barometer of macroeconomic, had played a role to reflect the macroeconomic trends. This paper disagrees to the results of research claimed that China’s mainland stock market was not the reflection of the macroeconomic. This paper argues that results above were due to the time lag in the conduction mechanism from macroeconomic variables to the stock market, so the stock market did not reflect the current macroeconomic trends, but rather reflected the variables three, four or even six months ago. The macroeconomic variables can predict the next stock market movements, but not vice versa, if you need to use the stock market to predict macroeconomic trends, Shanghai stock market has not developed to that extent required. In this point, some of the current variable in the Hong Kong market and the stock market are highly correlated, you can take the data from stock market to reflect macroeconomic changes, while the Shanghai stock market still need further development.Finally, by comparing the difference between Shanghai stock market and Hong Kong stock market, this paper puts forward some corresponding policies and recommendations to further develop Shanghai stock market by developing information disclosure mechanism and strict monitoring.