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A Research On The Relationship Between Stock Market And Macroeconomic Variables Based On Structural Vector Autoregression Model

Posted on:2015-05-16Degree:MasterType:Thesis
Country:ChinaCandidate:Y LiFull Text:PDF
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Under the circumstance of market economy, the stock market has developed into an important place which a national can optimize resource allocation, enterprises can raise funds, investors can share the fruits of economic development. The stock market has gradually became an indispensable component of the macroeconomic in a country or a region. As is the role of the stock market in the macroeconomic is increasing apparently, it is the reason why the relationship between stock market and macroeconomic variables has been one of the hot topics of the scholars. Among all these, there is a disputed question which catches a lot of attention is the stock market can be regarded as the weatherglass in our emerging market country.In the early1990s,as the two stock exchanges in China, which are Shanghai Stock Exchange and Shenzhen Stock Exchange coming into business, this is a symbol which means the Chinese capital market has became towards the rapid development of the new period. After20years of rapid development, the scale of Chinese stock market is growing bigger and bigger, and the impact of the stock market on the national economy has became increasingly apparent. Until the end of2012,the number of domestic listed companies has reached2487(including A,B shares), the total market capitalization of the stock market reached twenty two thousands nine hundreds and fifty six billions yuan, total capital reached three thousands nigh hundreds and twenty eight billions shares. And there are one hundred and forty millions valid investors’accounts in Shanghai and Shenzhen markets. However, as in the Chinese stock market has made such a brilliant achievements, we should also be in a clear understanding that our Chinese stock market is still an emerging market which is not mature enough in all aspects compared to the mature market. Stock market is often quoted as the weatherglass of national economy in developed countries, the weatherglass means that the development of stock markets will have a certain impact on the national economy. But in China, due to the immaturity of the Chinese stock market, it will limit our stock market to become the weatherglass of national economy. Therefore, in order to standardize and improve the development of Chinese stock market, make the Chinese stock market to play the important role in macroeconomic, it is very important and necessary to analysis the relationship between the stock market and macroeconomic variables.This paper will make the analysis on the relationship between the stock market and macroeconomic variables through the theoretical and empirical methods. The first chapter is an introduction, the first step is to expound the background and significance of the topic, secondly, make the summary of the current researches in domestic and international of the relationship between the stock market and macroeconomic variables. Make the introduction of the paragraphs arrangements and the methods of the research and application. At the last of the first chapter, make the description of the possible innovations and shortcomings. The second chapter is the theoretical analysis of the relationship between the stock market and macroeconomic variables. This chapter is divided into two parts, the first part is the theoretical analysis of the impact of the stock market on the macroeconomic. In this section, the first analysis is that how the stock market price fluctuations can optimize the allocation of resources. Then, try to analyze how the stock market price fluctuations can affect consumer wealth effect. Further, analyze the impact of price fluctuations on the stock market investment channels through three aspects:Tobin’s Q, balance sheet effects and effects of information asymmetry. Finally, analysis the impact of stock market price fluctuations on the national saving rate. The second part of this chapter is the theoretical analysis of the impact of the macroeconomic on the stock market. In this section, the first step is to expound the way of macroeconomic to influence the stock market is based on a discounted cash flow model for the stock market price. Then expound the macroeconomic fluctuations on stock market prices through economic growth, inflation, money supply and interest rates separately. The third chapter is the empirical part of the paper. First introduced the measurement methods which used in the article:ADF test, vector autoregression (VAR) model, structural vector autoregression (SVAR) model, impulse response functions and variance decomposition and the corresponding principle. It will be useful to understand the analysis of the empirical conclusion. Then in the empirical analysis part, we select three macroeconomic variables and stock market price for four variables SVAR model to analysis the relationship between them. The three macroeconomic variables are inflation rate, real output and monetary supply. Select96monthly data from January2005to December2012as a sample to. estimate the model. Finally, analysis the empirical results of the variance decomposition and impulse response. The fourth chapter is the conclusion and the policy recommendations. Summarizing up the conclusions of this paper, and providing relevant advices and policy recommendations under the current situation.There are three main conclusions of this paper:1. The current price volatility of the stock market is mainly affected by the inflation factors. Meanwhile, the impact of the output level on the stock market price is also growing higher and higher, Chinese stock market is gradually regarded as the weatherglass in our emerging market country.2. The main reasons of our stock market is still a weak efficient market are that the quality of Chinese listed companies are generally not high and the speculative atmosphere of our stock market is too strong.3. The affection of the level of output from the Chinese stock market shocks is secondly only to the impact of the inflation, and is gradually increasing higher and higher. Overall, the ability in adjusting macroeconomic of Chinese stock market is enhanced.The results of this paper show that the development of Chinese stock market has already became to play the role of the weatherglass of the national economy, coming from the weak efficient market towards the semi-strong efficient market. Policy recommendations, the best solutions is to improve the quality of listed companies, and guide rational investment, modest policy interventions to ensure and improve information dissemination and disclosure mechanism. These can effectively prevent manipulation and excessive speculation in the stock market and other illegal acts occurred, making the operation mechanism of the stock market more standardized. A healthy stock market will provide effective support to stable our macroeconomic development.
Keywords/Search Tags:Stock Market, Macroeconomics, SVAR Model
PDF Full Text Request
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