Effect Of Macroeconomic Variables On Multi-level Stock Market

"Financial deepening" theory considers that there is mutual promotion and mutual restraint between the financial system and economic development, a sound financial system and a good economic development can promote each other to form a virtuous circle, China’s economic development process is the practice of this theory, China’s stock market is also accompanied by the rapid development of China’s economy and create. From 1990,1991 the establishment of the Shanghai Stock Exchange and Shenzhen Stock Exchange, to 2004,2009 the small board market and GEM was established, China’s stock market in the construction of multi-level process has taken a solid pace. Relative to the motherboard market, the small board and GEM listed companies due to the small and medium sized high-tech entrepreneurship and innovation and entrepreneurial enterprises, more susceptible to a variety of factors. Distinguish the macroeconomic impact of monetary policy on the stock market at all levels can better promote the development of multi-level capital market, has important theoretical significance.Firstly, domestic and foreign research literature were reviewed, different views of macroeconomic affect stock markets were summarized. Second, the article on the basis of the theory of macroeconomic affect stock markets was analyzed, which will have an impact on the macroeconomic stock market through economic growth effects of fiscal policy effects, consumption and savings effects, effects of inflation and exchange rate effects. Monetary policy will have an effect on the stock market through the money supply and interest rates. Then the paper make principal component analysis of macroeconomic variables, drawn three principal components factor from macroeconomic variables. Then the principal component factor and the Shanghai Composite Index, small board index, the GEM index respectively establish VAR model, analyze the impact of macroeconomic and monetary policies on all levels of the stock markets by impulse response. We make a conclusion that the macroeconomic and monetary policy will cause more profound impact to the motherboard market and the small board market, but short-term impact to the GEM market. The impact of investment factor to the small board and the GEM market is large, and little effect to the motherboard market. Finally, the article analyzes the reasons behind, and proposes some corresponding policy recommendations.