Macroeconomic Variables And The Chinese Stock Market Relationship Study

It's well known that macroeconomic variables are one of the most important factors that affect the stock market. For the last two decades, the authors all over the world research it in theory as well as in empirical. in theoretically, it is mainly the equalities pricing and risk management that basis on the Markowitz's 'portfolio election' such as Capital Price Assert Model(CPAM),Index Model(IM),Arbitrage Pricing Theory(APT)and Option Pricing Theory and so on.In this paper, the author analyses the relationships between the macroeconomic variables and the index of Shanghai stock market index through the co-integration theory which basis on the analysis of unit root process. Co-integration is best prescript the equilibrium definition of economics actively and stationary. It is the basic reason that the integration becomes one of the most important branches in econometrics. But there are some mistakes in domestics when some authors use the theory to test co-integration relationships because of the neglect of some presumes. So, we get the aim of this paper: we compare and research ways of testing the integration relationships, and use it in China stock market to analyses the affect relations between the macroeconomic variables and the common stock price index in Shanghai stock market. On the one hand, we give the macro economic policy maker a advisable system way to assert the affection of macro economic stock market management and give the empirical tests on project the development of the stock market; on the other hand, we also give the investor a empirical means to analyses and forecast the stock movement. In this thesis, the author explain the meaning of this paper after exploring the composition systemically and comparing the IM,APT and co-integration firstly. Then analyses the theory relations between themacroeconomic variables and stock market pricing index. At last the author get the co-integration and vector error correction model between the Chinese stock market and these variables.In the dissertation, the author uses the method of qualitative analysis and quantitative analysis. The contents of the dissertation will be divided into four parts as follows:In the first chapter, having reviewed the China stock market, the author indicates that macroeconomic variables have definitely played a critical actor in the process of China stock market's development. So, it is important to actually analyses and forecast the trend of stock price. Through comparing the methods and relevant references, the author thinks: there are shortcomings in domestic researches because many authors testify the relation with single variable and the stock market index; these researches were renewed with the development of statistical methods, co-integration may looks as the natural development of index model and the beneficial complement of APT. So, the author thinks that it is necessary to think about the relations of all macro-economic variables with the stock market index systematically.In the second chapter, the author uses the method of qualitative analysis discussing the relationship between Shanghai stock pricing index with variables such as real gross productivity,money supply,interest rate,exchange rate,inflation rate and so on. In theory, money supply,economic development,exchange rate may have positive relations with stoke market and interest rate negative, while inflation may have positive or negative relations with inflation rate which mainly relied on the degree. Because these variables are interaction with each other, the author links all the variables with stock pricing index.In the third chapter, the author discusses and elects the data and empirical methods. 'two step method' has some hypotheses which may lead to mistaken if neglects of it. It is advisable to test the Granger'sCausality before testing the co-integration relations. The maximum likelihood test reported by Johnson(1988)is the best method to test multivariable integrating relations, which tested the var...