The Linear And Nonlinear Dynamic Correlation Between Chinese Stock Market And Macro-economy

The relationship between the stock market and the macro-economy has been paid much attention by the academic circle.Scholars have done a great deal of research on this issue.However,there has not been a unified conclusion.Some scholars believe that there is a stable correlation between the stock price and macro-economy.While others hold the opposite views,that the correlation between the two is weak and even propose that the function images of these two variables are intersecting.With the advancement of the process of financial globalization and the gradual improvement of relevant securities laws and regulations,the stock market in China has developed rapidly.Through theoretical analysis and empirical analysis,this paper aims to explore whether China's stock market can act as a leading indicator and play a "barometer" role of macro-economy,and whether the macroeconomic factors exert some influence on the stock market.And then we put forward some corresponding policy recommendations according to the empirical results.In this paper,linear and nonlinear Granger causal test are carried out for the data of stock indicators and macroeconomic indicators of China from static and dynamic perspectives.The time slot we adopt is from January 1992 to March 2017.The results show that there is a dynamic causal relationship between stock price and macro-economy in China,and the nonlinear causality between the two is stronger than the linear causality.Therefore,from the nonlinear and dynamic point of view,the statement that the stock market is the barometer of the macro-economy is established inChina.At the same time,the macroeconomic fluctuations will also affect the fluctuations of the stock market to a certain extent.