Research On The Volatility And Correlation Between SSE Composite Index And Macroeconomic Variables

The stock market is an important part of the capital market,it has some basic functions,such as choptimize the allocation of market resources,finance and reflect the economic trend.The stock market has vital influence on economic development with the rapid development of China’s market economy.The cyclical fluctuations of the stock market can reflect the overall trend of the macro economy.In view of the fluctuation of the stock market,the government has taken a series of economic adjustment measures to stabilize the stock market,so that the economy of our country can get a healthy and stable development.Because the mechanism of China’s stock market is not perfect enough,it is still in the stage of development,it is necessary to carry out effective macro-control of the operation of the stock market.Therefore,we need to understand the relationship between the stock market volatility and the macroeconomy,which has important practical significance for improving China’s capital market and maintaining economic stability and rapid growth.This paper takes SSE Composite Index as to measure the stock market volatility.CPI,GDP index and M2 are used to represent the macroeconomic variables.This paper studies the volatility characteristics of SSE Composite Index and macroeconomic variables based on the GARCH family model,and the relationship between SSE Composite Index and macroeconomic variables is empirically studied by using econometric model analysis.This paper first analyzes the basic statistical characteristics of the return rate series of SSE Composite Index and macroeconomic variables,then the stationarity test,autocorrelation test and ARCH effect test are carried out.The results show that the four variable sequences have the characteristic of sharp peak,thick tail and non-normal distribution,and the ARCH effect is strong.On this basis,GARCH model,TGARCH model and EGARCH model are constructed to further study their volatility characteristics.The results show that the fluctuation of four variable series has asymmetric effect,to the same extent,the impact of bad news on the SSE Composite Index is more volatile than that of good news,while the impact of good news on macroeconomic variables is more volatile.After analyzing the characteristics of volatility,the paper tests the cointegration relationship and granger causality between SSE Composite Index and macroeconomic variables,and conclude that there is a long-term stable equilibrium relationship between SSE Composite Index and macroeconomic variables.And the SSE Composite Index,CPI index and GDP index are mutually two-way causal relationship.Then we built vector error correction model,and further analyze the impulse response function and variance decomposition.The results show that in the short term,SSE Composite Index has a weak positive correlation with GDP index,CPI has a strong inertia,and M2 has a weak influence on SSE Composite Index volatility.In the long run,the CPI and GDP index have a positive impact on the SSE Composite Index,and M2 has a continuous negative impact on the SSE Composite Index.