The stock market fluctuates in an irregular, random and chaotic way of change. When external conditions change, sometimes small changes can cause the "butterfly effect" and "uproar", or even spread to the entire market and cause a substantial shock and may even cause the stock market crash.Nevertheless, the stock market goes ups and downs of its own law, and must have its drivers of fluctuations behind. Therefore, to explore the fluctuation characteristics of the Shanghai Composite Index and its driving factors is particularly necessary.The paper analyze the dynamic characteristics of the driven factors of the volatility of the Shanghai Composite Index at three levels of the domestic macroeconomic, industry index as well as external factors. In the course of the study, firstly, it uses HP filter trend decomposition method to investigate the relationship between economic growth cycle and fluctuations of the Shanghai Composite Index. Secondly, it selects the top five industry indexes, whose capitalization covers more than60%of the Shanghai A-share market to analyze the driving effect of the industry index to Shanghai Stock Index. Finally, it builds the SVAR model to analyze the driven factors of the Shanghai Composite Index volatilityOn the basis of the above qualitative and quantitative analysis we make the following conclusions:First,the Shanghai Composite Index depends on macroeconomic policies, fluctuates driven by the five industry indexes. Second, The Shanghai Composite Index has a positive response to dollar liquidity, money supply, the S&P index and exchange rate and has a negative response to international commodity price index, the dollar index, inflation and interest rate. The paper gives the proposals for the government and investors. |