The Comparative Study Of The Impact Of The Macroeconomic Variables On A-share Market

The stock market is a barometer of the national economy. The situation in Europe and other developed countries shows that when the economic faces recession, the stock market will also weak, when the economy recovers, the stock market will follow the better. Despite Chinese stock market started late, December in 1990 and July in 1991 saw the Shanghai Stock Exchange and Shenzhen Stock Exchange respectively and the stock was able to achieve centralized trading venue, it developed rapidly. But there are many problems in development, especially the large fluctuations in the index, and the market’s speculation, so many people think that China’s stock market does not play a role in macro-economic barometer. To solve these problems, a number of studies choose a single macroeconomic variables related to academics or a single stock price index to prove in the A-share market a certain correlation between the presence of a single stock price index and certain changes in macroeconomic variables, but little researches see the multiple macroeconomic variables or more share price index, especially the comparative studies.This article will be embarked on the seven major macroeconomic variables, namely, the growth rate of industrial added value,money supply M0, the consumer price index, the RMB against the US dollar, import and export volume, fiscal spending, interbank interest rate, and choose CSI 300 index, small board index,GEM index to represent the board, small plates, the GEM respectively. This article will use 42 monthly data from May 2011 to October 2014 for research about the impact of the macroeconomic variables on the A-share market, and using Eviews statistical software, this article will deal with all data with preliminary treatment, ADF unit root test, VAR model test, co-integration test, Granger causality relationship,impulse response function to obtain the conclusions eventually.The results show that:(1)Money supply M0 and the average exchange rate of RMB against the US dollar mostly impact on long-term relevance of the small board stock market index,and one day interbank weighted average interest rate, the consumer index, the cumulative value of the state financial expenditure, total import and export value of the current period, the cumulative value of the industrial added value growth mostly impact on the long-term relevance of the CSI 300 closing stock price index of the board of the largest markets.(2)In the seven variables, only the money supply M0 is the direct cause of the CSI 300 stock price index, while the consumer index and export value current value is the direct cause of the GEM composite stock price index.(3)In all macroeconomic variables, the RMB against the US dollar and the consumer index are in the top three positions of influence on the variables, that is, no matter what the stock market will be in large part affected by the sector of the RMB against the US dollar and the consumer index, while interbank interest rates are in the very end position, that is, the effect is minimal. According to the conclusions it’s important to suppress excessive speculative stocks, strengthen our government’s supervision, and deeply reform the investor structure.