A Empirical Study On The Phenomenon Of Chinese Stock Market Deviating From Real Economy

The correlation between stock market and macroeconomic is a disputative question in the academic field. Especially in China such a special national conditions where the stock market births in, the controversy seems particularly outstanding. This paper anal ysis on the problem that whether the stock market can play the linkage mechanism with real economy and whether it is deviating from the real economy or not, and also how the specific form of the deviating is.This paper first describes the theoretic linkage mechanism between macroeconomic and stock market, and then uses the GARCH and VAR econometric model to analysis the relationship between stock market returns sequence and six macro variables include economic climate index, the broad money supply, market interest rates, consumer price index, the social consumption and investment spending variables which are based on the theoretical analysis results. The empirical results show that: First, the volatility of stock market returns sequence represents a feature of memory. And it shows greater volatility to the good policy and small fluctuations to the bad policy. So it’s unable to realize the expected function of policy and these study results will lay a foundation for the research of "the deviation". Second, only the broad money supply and consumption price index sequences are granger cause of stock market returns sequence, the rest of the macroeconomic variables can not explain and forecast volatility of stock market. Third, in addition that the broad money supply can promote stock price rise in the short-term and the interaction relationship between consumption price index and stock market returns sequences is in line with the theory mechanism, the operation of stock market performance is deviating from the rest of macroeconomic variables to a certain extent. Finally, this paper based on the results of the empirical results to analyze the reasons of Chinese stock market deviating from real economy, and puts forward some suggestions on promoting the benign interaction between them.