The Relationship Between Stock Price Volatility And Macroeconomic Empiricial Research

The stock market is a natural product of a certain level of the real economic development.An effective operational status of the stock market reflects the development of the real economy to some extent.Grasping the operation of stock market sufficiently has an important role in guiding a country to make effective macroeconomic policies.In the same way,the impacts of macro-economy on the stock market is also very large.Any Emerging new stock markets around the world are inseparable from macroeconomic interferences.The Chinese stock market has just started,to a certain degree it need the macro-control,but the country's macro-control cannot be too blind.You must learn the relationships between our domestic stock market and the major macroeconomic indicators before regulation.It is necessary to analyze the overall macro-economic impact on the stock market,and also examine each of the major macroeconomic variables influence on the stock market to effectively guide the stock market to respond to the macroeconomic environment.In this paper,we adopted the Shanghai Composite Index and macroeconomic variables(including the industrial added value,the consumer price index,interest rates,money supply and other nine indicators)monthly data from 2010 to 2015.We use the factor analysis of the nine variables to find out the common factors:macro-factor and monetary policy factor.Then with using the common factors and the Shanghai composite index,vector auto-egression model is established for further empirical analysis.In a conclusion,in the long-term impact of macro-economy on the stock market,the increasings of macro-factor and the monetary policy factors are conducive to the positive fluctuation of the stock market.In the short term,the increasing of interest rates makes negative change to the stock market,but the increasing of money supply will make positive changes to the stock market.