Creation Of Experimental Stock Index And It's Examination Of Economic “Barometer”

The stock market is considered the "barometer" of macroeconomic development ever since it appeared,which means it is the regional economy reaction and early warning.Since 2005,The overall trend of the Shanghai index is continued downturn or rises and falls.This phenomenon not conform to high-speed steady growth of the economy.From the above situation,Chinese stock market is not a good predictor of economic growth,also can not play the role of the stock market as an economic development "barometer".Historical conditions led to the current Chinese stock market is not mature enough,which is the consensus of most scholars.But more surface and mutable,stock index methodology has serious flaws.In this paper,the relevance of the current Shanghai index and the economic growth was analyzed,and the view that the flaw of current Shanghai index is does not considered volume elements and time-series properties was propose.On the basis of the theory of mean reversion and statistics panel,prototype stock index was corrected and turned into experimental stock index compiled formula.Then,the data of the quarterly Shanghai Composite Index and transaction volume from 1992 to 2014 was select,the experimental stock index sequence of2005-2014 as the base period is 1992 was calculated.Then use the method of Unit root test,Cointegration test,the long-run equilibrium relationship and short-term correction relationship between sequence of experimental stock index and the actual quarterly GDP series.The results prove the existence of co-integration relationship between sequence of experimental stock index and the actual quarterly GDP series,and GDP is Granger cause experimental stock index,which means experimental stock index has the function of "barometer".Finally,make policy recommendations.