The Theory And Empirical Analysis On The Relation Between Stock Market And Macroeconomic In China

Financial activities is at the heart of the modern economic system.Although most contemporary economists has been reached a consensus that financial development plays an important role for economic growth.But there are still many differences between macroeconomic and stock market.The main purpose of this paper is that analysis the present stage the relationship between macroeconomic and stock market through the VAR model and other related empirical study of measurement method.And in-depth analysis the causes of China's stock market and macro-related divergence.The paper first give a comprehensive review of literatures of domestic and international in related fields.It gives a in-depth analysis and classified about different views between stock market and macro-economic,and put forward some views and perspectives in my own research. Then the paper gives a in-depth theoretical analysis of the stock market and macroeconomic.It includes the interaction theory of stock market and macroeconomic and the mechanism of the interaction between stock market and macroeconomic.This paper is a positive study of the relation between stock market and macroeconomic based on the quarterly data from January 1998 to December 2009,which is long time series.On the stock market, we choose the financing amount of stock market, turnover and the return of stock price index;on the macroeconomic,we choose the real GDP of quarterly data.The empirical method we used include unit root test, co-integration method, dynamic least squares method,long run and short run granger cause test, the error correct model and impulse response. Through empirical analysis we come to the conclusion that there are co-integration relation between stock market development and economic increase, the impact of financing amount to economic growth is significant.But in the short run, there is no significantly relationship between stock market and economic growth. There is a certain degree of departure between stock market and economic growth.We analysis the reason for this phenomenon and give some policy and suggestion...