Research On The Correlation Between Inventory Cycle And Stock Price Fluctuation Cycle Of Manufacturing Industry

Since its official operation,China’s stock market has been in the stage of rapid development,and its relationship with the change of economic structure is constantly strengthened.In an efficient market,the stock market will reflect the development of the economy and react in advance under the guidance of expectations.Theoretically,there is a strong correlation between the stock market and the macro economy.As a macro-economic short-cycle inventory cycle and the stock market is worth paying attention to the relationship.The driving force of inventory cycle fluctuation mainly comes from manufacturing inventory investment.From a theoretical point of view,it is of great significance to study the correlation between inventory cycle and manufacturing stock price fluctuation cycle.Based on VAR model and spectral analysis method,this thesis empirically verifies the correlation between the two cycles.In this thesis,the cumulative inventory of finished goods year-on-year and PPI index are selected to describe China’s inventory cycle from the perspective of inventory level and price level respectively,and the Shenzhen Manufacturing index is selected as the proxy variable of China’s manufacturing stock price fluctuation cycle.This thesis uses the method of turning point and single spectrum analysis method to identify the stock inventory cycle and manufacturing cycle,according to the stock inventory cycle and manufacturing cycle fluctuation characteristics of comparative analysis of the similarities and differences in the process of periodic change,the use of empirical methods from two aspects of time domain and frequency domain explore the influence of stock inventory cycle and manufacturing cycle.This thesis draws the following conclusions:(1)according to the turning point method,the spectrum analysis to our country the inventory cycle and manufacturing cycle of measure result can be seen that share prices,price index and the stock index to measure the inventory cycle length,are about 40 months,China’s manufacturing stock cycle for the cycle length 38 months,the inventory cycle and manufacturing cycle fluctuations have a certain degree of consistency.(2)From the time-domain VAR method,it is found that there is a certain correlation between the inventory cycle and the stock price cycle of the manufacturing industry.There is a one-way Granger causality relationship between the fluctuation cycle of manufacturing stock price and the economic cycle,which indicates that the fluctuation cycle of manufacturing stock price can predict the change of inventory cycle to a certain extent.The manufacturing stock price cycle has a weak positive effect on the inventory cycle,while the inventory cycle has a negative effect on the manufacturing stock price cycle.(3)From the cross spectrum analysis,it is found that the inventory cycle and the manufacturing stock price cycle have a high correlation in both the long cycle and the short cycle.In the long cycle,the inventory cycle lags behind the manufacturing stock price cycle.and in the short cycle,the inventory cycle is slightly ahead of the manufacturing stock price cycle.In addition,it can be seen from the gain spectrum results that in the long run,the inventory cycle has a more significant impact on the manufacturing stock price cycle,while in the short and medium term,the manufacturing stock price cycle has a greater impact on the inventory cycle,which has a certain amplification effect.Finally,Make policy recommendations based on the conclusions.