The Relationship Between CSI 300 Stock Index And Macroeconomic Variables

Since Chinese stock market was formed in the 1990s, in the twenty years of development course, the stock market has experienced ups and downs several times, it also has a certain influence on the economic development of our country, the government also adopt a series of macroeconomic policies and measures to balance and stabilize the stock market, at the same time it is helpful for the healthy development of economy. The stock market not only is related with the stable development of national economy, but also is one of the symbols of the national market economy’s perfect development. Chinese stock market is still in a stage of development, it also need the national effective macroeconomic regulation and control, so we need to know the connection between Chinese stock market and the macroeconomic development condition. So the research of the relationship between the stock price index and macroeconomic indicators is necessary and important.This paper is based on the summary of domestic and foreign literature, references the research ideas and methods, combines with the knowledge of economics and the impact mechanism between the variables, then selects the consumer price index and the money supply as the main macroeconomic factors, and then uses econometric method to analyze the influence between them and the stock price index. Therefore, this paper aims to explore the econometric relationship among the stock price index, the consumer price index and the money supply.Stock price index is the CSI 300 Stock Index, which is released in April 2005 and has a market representative and research value, money supply is the broad money supply M2, which plays a bridge role in the middle of the economic variables and the stock market, use the econometric method to implement an empirical research on the influence of the three variables.The paper is divided into five parts:the first part introduces the background of the research question and meaning, the literature reviewed, the research methods and structure; the second part is the relative theory of knowledge, the third part is the empirical analysis on the relationship between the CSI 300 Stock Index and macroeconomic variables; the fourth part summarizes the research conclusion of dissertation and puts forward corresponding suggestions, the fifth part illustrates the article research deficiency and the future prospects. The empirical analysis part mainly study on five aspects:First, use a descriptive statistics to study the time series of the three variables, then get their time sequence diagrams, the analysis result shows that:the three variables of logarithmic sequence development trend over time are basically the same, so suspect may be there is a co-integration relationship among themSecond, on the basis of descriptive statistics, Johansen cointegration test analysis is carried out on the three variables, the test results indicate a 2 order cointegration relationship is among the three variables, in the long run, the consumer price index CPI and the CSI 300 Stock Index shows a negative correlation, the correlation coefficient is-1.204248; the money supply M2 and the stock index shows a positive correlation, the correlation coefficient is 0.800943.Third, on the basis of cointegration relationship, the VEC model of the three variables is sat up, the results show:the volatility of the CSI 300 Stock Index has a certain relationship with the previous value, that is to say, the stock market of China is not a strong form, the relationship with the other two variables is not significant; the consumer price index has a strong short-term inertia, people mostly is based on the historical price volatility to expect the future situation; because of the small adjustments that money supply needs to return to the long-term equilibrium condition in a long time, the error correction coefficient is 0.004320, in the short-term, changes in the money supply and changes in the consumer price index show a opposite relationship, and have a weak correlation with the stock index changes.Fourth, in order to obtain a clearer affect relationship in the short and long term among the three variables, further analysis of the impulse response function and variance decomposition is needed. The impulse response function results show:in the short term, the CSI 300 Stock Index has a strong performance on their own impact, in the long run, the impact of the consumer price index and the money supply on the stock index tends to a small steady influence; the CPI in the bng run is mainly affected by their own factors; the impact of the CPI on the money supply shows a stable negative impactFifth, the results of the variance decomposition show:the CSI 300 Stock Index in the short term is mainly influenced by itself, in the long term, it not only affected by its influence, as well as by the consumer price index CPI, impact of the money supply M2 is always weak during the short and long term; in the long term, the consumer price index is mainly influenced by itself, but also affected by the CSI 300 Stock Index, impact of the M2 is always weak; in the long run, the money supply M2 is mainly affected by itself and the CPI, impact of the CSI 300 Stock Index is always relatively weak.Final summary can be found that, among the CSI 300 Stock Index and the consumer price index CPI and the money supply M2 has a influence relationship, but the influence level is not very strong, especially between the CSI 300 Stock Index and the money supply. The ability of our state stock market’s reflection on macroeconomic development is not very obvious, it still need to improve, the consumer price index also needs reasonable monetary policy to prevent the ups and downs of the economy.