| It's a new subject of financial study to research the information value of the financial market. As an important part of the financial market, security market itself is for participants to collect and spread information, while transaction is a concentrated expression of the information. The market participants normally make the investment decisions according to their anticipations on the macro economic tendency, which are always reflected in their transactions. Therefore, the value of security products are closely related to the macro economic tendency. As a result, we can learn the market participants'predictions on the maco economic tendency from the information in the stock market. Accordingly, we made a research on whether any anticipated information on the macro economic tendency is hidden in the security market in our country.Extraction of the hidden information on the marcro economic tendency in the security market has been paid great attention in foreign countries. To the goverments and currency controllers, accurate and reasonable judgements on the marcro economic tendency are particularly signaficant. When the economy is over heated or greatly depressed, unreasonable policies are not only helpless to tangible economy, but also can make things worse. The more complete the market is, the more plenty and accurate information we can gain. The quick reaction to the subprime crisis of the States government was largely owed to their successful acquisition of in-time and exact information from various markets. Nowadays, the security market is growing stronger, and financial derivative products are getting improved day by day. The fluctuation in the financial market is likely to lead severe waveness of the entire tangible economy, which generates butterfly effect. Therefore, it's very important to forecast the macro economy tendency rationally and establish accurate, timely and effective currency policies. However, in our country, the security market development is extremely unbalanced. It's been in a state of market segmentation for a long term. Though the stock market begins to take shape, sudden rising or dropping happens very often due to the excessive speculations in the market. Thereby, in the current situation in our country, can we get anticipated information on the marcro economic tendency from the stock market? Can the information provide any assistant reference in setting up the macro economic policies? These are the topics for us to study.This essay firstly reviewed the relationship between financial development and economic growth simply, mainly concluding how the financial development affects the transmission mechanism of the macro economy. This is the premise that the information on the macro economic tendency is hidden in the security market. Secondly, it analyzed the theoretical mechanism of how the variables in the stock market and bond market anticipate future macro economy, which includes 3 parts:the first part used the existing model with certain explanation to prove that information on the marcro economic tendency is hidden in the stock market. The second part summarized several transmission channels, which are the premise to realize the value of the anticipation. The third part analyzed the relationship between the macro economy and the variables to predict it and lays the theoretical basis of the further empirical analysis. Then we applied the VAR model to empirically test the anticipation ability of the security market in our country. This is the core of the entire paper. The research result presented that the variables in the security market of our country can be considerred as the leading economic indications, the anticipation ability of which are above the one of the bond market. In the end, based on our research findings, we gave some policy advice. |
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