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The Correlation Study Between China’s Stock Market And Macroeconomic

Posted on:2017-10-16Degree:MasterType:Thesis
Country:ChinaCandidate:R C GengFull Text:PDF
GTID:2349330503493087Subject:Applied statistics
Abstract/Summary:PDF Full Text Request
Macroeconomic is an important factor to measure the situation of country’s capital market. The variables that can describe the macroeconomic are GDP, investment, consumption, consumption, CPI, money supply, unemployment rate, interest rate, exchange rate, etc. The stock market, as one part of the capital market, is a place for transfer, trade and circulation. But it has a big effect on promoting the national economic growth, raising money, predicting the economic cycle and allocating resources. As usual, the development of the stock market can reflect a country’s overall economic development level, at the same time, the level of the economic development of a country can also affect the operation of the country’s stock market. How to solve the relationship between the stock market and macroeconomic has become a hot topic in current study of economic growth theory. Based on the related theory of macroeconomic, the price of a stock is not only related to its intrinsic value, but also related to macroeconomic factors. The stock price index is affected by macroeconomic, in turn, it is also an important indicator to forecast economic development and measure status of direction. For such an emerging stock market in our country, theoretical research is important, but what is more important is to find out the correlation between the stock market and the macroeconomic. Based on the purpose of this study, first of all, I will do a simple review of the important research results. Then, in the process of empirical research, some theories that will involve knowledge of economic theory and model will be explanted in detail. Further, on the basis of related theory, I will pick up some variables on behalf of the relevant indicators of macroeconomic performance, and use macroeconomic variables and stock price index to make models. In the process of the study, the unstructured and structured vector autoregressive model is set up, and some tests like the time series stationarity test, cointegration relationship test, granger causality test and impulse response function analysis will be used. In addition, in order to improve the persuasion of the empirical study, I adopt the combination of vertical and horizontal comparison research method to analyze the overall operation of the stock market in China and the problems right now. Finally, on the basis of empirical research, I will combine with the current operation of the stock market in our country and some existing problems in the process of development to give some useful advices to keep our stock market healthy and stable.
Keywords/Search Tags:macroeconomic variables, The stock price index, Vector autoregressive model, Stationarity test, Granger causality test
PDF Full Text Request
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