Empirical Study On The Function Of Chinese Stock Market As An Economic Indicator

Under the circumstance of modern market economy, stock market has become one of the most important part of the capital market, and play a great role in the national economy, help to optimize the resource allocation, corporate financing, and for investors to share the benefit of economic growth. The stock market increasingly show its function in the macro economy, make effect to economic growth and steady, so as the research on relation between stock market development and economic growth. In these researches, the expert and scholar pay more attention to the aspect that whether stock market can be an indicator of the macro economy.The indicator effect was first raised by the Charles Dow, the founder of the Wall Street Journal, He thinks that basically the stock market should run with the macroeconomic performance is consistent, economic cycle decides the stock market cycle, the stock market cycle reflect changes in the economic cycle. However, due to the emerging market in China, our stock market is far away as a mature market, limited the function as an economic indicator, so it is very important to study the true relation between stock market and macro economy, help to improve the development of our stock market, and then fully facilitate its function as an indicator.This article aims to analyze the qualitative and quantitative relationship of stock market volatility and macroeconomic performance in China, combined with the previous study, explore the indicator effect as the stock market for the economy. First of all, to comb through the existing literatures, theoretical analysis of stock market fluctuations on the real economy impact of transmission and the transmission mechanism, revealing the link between stock market and macro economy. Then select variables such as the Shanghai Stock Market Index and GDP, inflation rate, the added value of industrial output and so on, reflected the stock market volatility and fluctuations in the real economy, in order to reflect the correlation between the two aspects, all the variables on the number of lognormal treatment. Then, after the simple treatment of the variable data, respectively using unit root test, cointegration test, Granger test, impulse response model and empirical analysis of variance decomposition model, distinguishing between stock market and macroeconomic relevance, and the stock market fluctuations in macroeconomic performance. Finally, on this basis, give some personal suggestion on the establishment of mature market mechanisms, healthy development of China's stock market, and enhancing our stock market function as the economy indicator.This research showed that the development of China's stock market so far has begun to become mature, show its function as the real economy indicator, for some macroeconomic aspects, such as money supply, savings deposits, exchange rate and macroeconomic prosperity index, although the forecast period is different, but can make a good prediction and explanation. However, as the stock market does not display as a great explanatory for the GDP, so we cannot make the conclusion that our stock market is an indicator of the real economy, its effectiveness as an indicator still has great space to improve.This research has some positive and reference value for relative policy making and regulator department, investors and so on.