| This thesis mainly analyzes the macroeconomic factors that affect the volatility of China’s stock market.Firstly,the thesis theoretically analyzes the influence mechanism of different macroeconomic variables on the stock market,and finds that inflation will stimulate the stock price as well as inhibit it.The rise of the exchange rate will affect the stock price from both positive and negative aspects.Therefore,theoretically analyses of the influence of macroeconomic variables on the stock are not enough.The traditional VAR model uses OLS estimators,which will be insufficient of the information when the sample size is small,resulting in the problem of unable to estimate and overfitting.Therefore,BVAR model is used to solve the above problems and improve the accuracy of parameter estimation.In the selection of hyperparameters,the hierarchical BVAR model is used to avoid the deficiency of empirical Bayesian method.The likelihood function in BIC is replaced by the marginal likelihood function calculated by BVAR model,obtaining the optimal lag order of BVAR model.This thesis constructs a large BVAR model including stock return rate and 16 macroeconomic indicators.Macroeconomic indicators with similar economic significance are added to the model to investigate whether their influences on stock prices are different.This thesis uses the method of rolling window for dynamic analysis.The robustness of BVAR model is verified by changing the lag order.The main conclusions are as follows.The impact of different inflation indicators on stock returns varies in directions.The impact of different money supply indicators on stock returns is different.The response of stock returns to impulses from most macroeconomic variables is persistent.The contribution rate of any variable to the variance of stock return rate is 6%at most.PPI and foreign exchange reserves have significant differences in the direction and magnitude of the impulse on stock returns in different periods. |
