Empirical Analysis Of The Relevance Between Stock Market Volatility And Macroeconomy

Volatility of stock market is the most essential characteristics of stock marketfluctuation, the reason is complex, the main factors that affect stock price can bedivided into three categories:(1) macroeconomic factors: including economic growth,fixed assets investment, total retail sales of consumer goods, import and export,money supply, inflation (2) financial policy factors, such as stock trading ruleschanges, the deposit reserve rate adjustment, the benchmark interest rate adjustment,the adjustment of stamp duty, leader important speech,(3) unexpected factors,including natural disasters, war, the financial crisis and the "black swan" event. Thisarticle will study the macroeconomic factors and the relationship between thefluctuation of the stock market, then try to study the relationship betweenmacroscopical economy and the stock market volatility from a new point of view.First from the consumption, investment, exit three aspects of macro economyindex, qualitative study of their departure from the relationship between the stockindex trend, and then through the industrial added value growth rate and stock indexvolatility return discovery, their relationship is very weak, that at the present stage ofChina’s stock market is the national economy" barometer" is not established.Then from two angles of dynamic and static analysis of macro economy andstock market fluctuation relationship. Standing in the dynamic angle, throughprincipal components factor analysis from the index system extracted two mainfactors, were interpreted as macro economic factor and inflation expectations, theywere able to generalize87%of the parameters’s information, then utilize VAR modelstudy of two factors and three dimensions of the stock market volatility betweendynamic interaction. By comparing the three VAR models found: two factors andindex standard deviation between VAR (3) the results of optimal model, the threevariables and its lag could explain the stock index fluctuation58%changes, and thethree variables in the presence of the interaction effect between. Standing in the staticangle, from the dividend discount model, study of Shanghai A stock index andcorporate profitability, risk free interest rate, market risk premium of three fundamental factors, found that there is a long-term equilibrium relationship betweenthem, but the three indicators can only explain the fluctuation of stock index in37%.Finally, this paper draws a conclusion that Chinese stock market is still themarket of policy, the correlation between volatility of stock market and economicrelevance is not high. The stock market is affacted by the fluctuations itself which isthe most significant, followed by inflation expectations; Shanghai A stock index andmacroeconomic fundamentals factors exist long-run equilibrium relationship, namelylong-term equilibrium price/earnings ratio of existence. In view of the characteristicsof the fluctuation in Chinese stock market, and puts forward the recommendations ofsolving the market of policy.