A Study On The Correlation Between PMI And The Stock Market In China

With the rapid development of economic globalization, not only the circulation of products and information exchange are more frequent, but also the relationship of national economy between different countries is also more closely linked. Purchasing managers’ index(PMI) is widely used in the forecasting of macroeconomic due to its widely recognition of the antecedence and comprehensive. In 2005, we established the Purchasing Managers’ Index(PMI) system based on the experience of foreign countries. With the economic situation is becoming more and more complex and the birth of a variety of financial instruments, stock market volatility is also more frequent; But the financial media and institutions analyse the future trend in the stock market according to the PMI report at the beginning of each month. PMI has been known as the stock market "barometer". Therefore, it has important practical significance to study the correlation between PMI and stock market.First of all, this paper briefly introduces the origins and development of the PMI system; Then systematically describes the establishment and development of the PMI system in China, and discusses the meaning of each index of the PMI system and the trend of the last 10 years; Through the study of PMI system, the establishment and perfection of PMI system have important significance in four aspects, such as the integration of international standards, the monitoring of macroeconomic, guiding the production and operation of enterprises, the support of relevant institutions and individual investors to make rational investment planning; Finally, we analyze the impact mechanism of PMI on macroeconomic and stock market.Secondly, this paper select the PMI, Shanghai and Shenzhen 300 monthly return(hs), weighted average interest rate on interbank funding(ir) and industrial added value link relative ratio(gy) as the research variables according to the previous research results and actual situations, then using the structural vector autoregressive(SVAR) model to analyze the interaction relationship between the variables. Based on the analysis of the impulse response of the SVAR model, the following conclusions are obtained: PMI has a positive impact on the added value link relative ratio and the Shanghai and Shenzhen 300 monthly returns, while in the short term there is a negative effect on the interest rate; The stock market has a more obvious positive impact on the PMI.Finally, according to the conclusions of the study, we put forward the suggestions to perfect the PMI system in our country; We also put forward some relevant policy suggestions for the development of China’s manufacturing industry according to actual situations and the analysis of the PMI sub-index.