An Empirical Study On The Relationships Between The Manufacturing PMI Index And The Shanghai Composite Index

Today, manufacturing PMI index is the important leading indicator for monitoring the macroeconomic operation in the worldwide. Through the development trend of manufacturing, manufacturing PMI index can to a certain extent reflects a country’s future economic trends. Base the development of the capital market, macro economic trends, tend to affect a country’s stock market index volatility, which affect the investors profit. Therefore, the research manufacturing PMI index and the relationship between stock market index, it both from the maintenance of stable development of capital market, or from the perspective of the improve investor benefits have positive practical significance.In view of the domestic is usually released official manufacturing PMI index and HSBC manufacturing PMI index, this article will use the comparative analysis method, through collecting in September 2005-September 2014 the official manufacturing PMI data, HSBC manufacturing PMI data, as well as the Shanghai composite index data, build a vector autoregressive model (VAR) model, the empirical analysis the official PMI index, the relationship between the HSBC PMI index and Shanghai composite index. The resulte show that:(1) the official PMI index fluctuations have a significant impact to the change of China’s Shanghai composite index, shows that China’s real economy such as manufacturing of running status information, can pass a certain stock market information transmission mechanism, the final response to the stock price; (2) pulse analysis results showed that in the short term after the Shanghai composite index to a domestic manufacturing PMI index hit in the second period that generates positive feedback, but mainly for the official PMI index was hit feedback is given priority to; At the same time, both the official PMI index, and HSBC manufacturing PMI, they are in the Shanghai composite index after the shock 1) will produce positive feedback; (3), according to the results of variance decomposition after rejecting the benchmark Shanghai composite index itself factors, China’s official PMI index and HSBC PMI index on the Shanghai composite index fluctuation have certain ability to explain.In addition, by contrast, found that the official PMI index, HSBC PMI index and Shanghai composite index has the following four differences:one is in terms of VAR model parameter estimation results, the change of the official PMI index will significantly affect the volatility of Shanghai composite index, but HSBC manufacturing PMI index, there is no significant impact on the Shanghai composite index; From the Granger causality test results, although both PMI index and Shanghai composite index exists bidirectional causality, but under different significance level through the test, show that two mutually causal relation between the index and Shanghai composite index and weak points of the; Three is in terms of pulse analysis results, while at the same time to the impact of the two places a unit of the PMI index, the Shanghai composite index in response to a direction and the degree of response difference; Among them, in the face of the impact of the official PMI index, the Shanghai composite index in positive feedback and response to a maximum degree is 2.57%, but for HSBC manufacturing PMI, ups and downs in the Shanghai composite index and response to a different direction, and the degree of response is relatively small; Four respects from variance decomposition results, after the Shanghai composite index itself influences factors, although the two manufacturing PMI index on the Shanghai composite index fluctuations have a certain ability to explain, but the official PMI index on the Shanghai composite index fluctuation significantly greater variance contribution rate.