The Relationship Between China's Macroeconomic Indicators And Stock Price Linkage

Since its establishment,China's stock market has been labeled as a“policy market”,which highlights the difference from other countries'stock markets and also means that macroeconomic indicators have a greater impact on China's stock market^[1].Nowadays,with the deepening of economic system reform in our country,it has also had a significant impact on the development of the stock market.Combining with the existing conclusions,we can know that the macroeconomic indicators and the stock market are interactive^[2].At the same time,the number of papers studying the relationship between macro-economic indicators and stock price linkage is too numerous to mention,but most of the relevant papers start from self-selected indicators to explore the relationship between macro-economic indicators and stock price linkage.One of the major innovations and highlights of this paper lies in the adoption of analytic hierarchy process,which constructs the corresponding index system of stock price linkage according to the importance of the selected indexes,and divides it into primary indexes and secondary indexes.The first-level indicators mainly include GDP,investment indicators,consumption indicators and financial indicators,while the second-level indicators roughly include GDP,investment in fixed assets,consumer price index,interest rate and exchange rate.Furthermore,the weight of the corresponding index in the system is directly obtained through the analytic hierarchy process software?Expert Choice11.5?.Finally,six secondary indicators,such as gross domestic product?GDP?,investment in fixed assets,consumer price index,interest rate,exchange rate and money supply,are selected for empirical research on stock price linkage to test the accuracy of the results.An important feature of the empirical analysis is that starting from the industry level,monthly data are used for regression analysis based on relevant data samples such as GDP,consumer price index and interest rate from January 2005 to December 2019.The empirical results of robustness test prove that macroeconomic indicators are correlated with the stock price linkage of domestic A-share market,and the degree of correlation corresponds to the weight value of the indicators themselves.Among them,GDP has the greatest influence and weight.In addition,when investors are in different market economic environments?divided into overall market,bull market and bear market?,the correlation degree of index and stock price linkage will be significantly different:the correlation degree of bear market is greater than that of overall market environment,and the correlation degree of overall market is greater than that of bull market environment.From this,we can see that China's macroeconomic indicators will have a significant impact on the stock price linkage.The degree of impact is positively related to the weight of indicators obtained by AHP,and the stock price linkage has the basic characteristics of the market environment.