Research On The Relationship Between The Shanghai Composite Index And Macroeconomic Growth In China

Based on the theory of the relationship between macroeconomy and the stock markets,that macroeconomic is a basic factor for the stock market,while the stock market gives macroeconomic a feedback effect,the problem this article tries to solve is the general relation between the Shanghai composite index and GDP,macroeconomic index,using empirical testing.Using several Econometric methods,such as Cointegration test,Granger causality test and GARCH-BEKK model to approach,This paper analyzes the Shanghai composite index and GDP data from 1992-2016 to come to a conclusion,with Eviews8.0 and Winrats 8.0.The results obtained in this research include that macroeconomic can put some influence on the China's stock market,while the stock market cannot directly influence macroeconomic,the stock market and macro does not exist lead-lag effect,and the volatility spillovers effect analysis shows,in the variance level,China's stock market and macroeconomic has two-way volatility spillovers effect,so changes of Stock market returns can make an impact on changes of macroeconomic growth,and macroeconomic growth rates of change also causes changes in the stock market returns.The impacts of this paper obtained results is the stock market cannot be the role of macro-economic "barometer",the reason for this phenomenon is the development of China's stock market is not really perfect in several area like the system,the regulation etc.According to this,this article presents some policy recommendations.