Research On The Correlation Between Volatility Of Stock Market And Macroeconomic Volatility In China

The stock market plays a very important role in economic development, which can provide financing and financing functions for enterprises. At the same time the stock market is also called the macroeconomic indicators of the first run, the macroeconomic trends with the role of prediction and interpretation. Volatility is an important indicator to measure the price volatility of financial assets, and also plays an important role in option pricing, financial investment and supervision. It is found that volatility has the characteristics of Fat tail, Volatility clusting and Leverage effect.This paper first describes the characteristics of volatility, the monthly data of Shanghai Composite Index from December 1999 to December 2015, the monthly data of Shenzhen Composite Index and macroeconomic indicators (CPI, PPI, EL, Shibor,M2, Import and export volume IV) monthly data, and data cleaning and finishing. Using Eviews8, the logarithmic yield data of each time series are analyzed by descriptive statistics, and it is found that the time series of logarithm returns have the characteristic of peaked fat tail. Secondly, the logarithmic yield curve of each time series is analyzed.The autocorrelation test and the heteroskedasticity test, the GARCH model is established for each time series to analyze the volatility.After a certain understanding of the volatility, the VAR model of the time series of the yield of the Shanghai Composite Index and the time series of the macroeconomic returns is first established. It is found that the CPI and the fluctuation of the power generation are the same as the fluctuation of the Shanghai Composite Index, M2 and the import and export volume In contrast to the volatility of the Shanghai Composite Index^ the trend of Shibor, PPI and SSE volatility is uncertain. Finally. Shenzhen Index was used to carry out verification analysis, and the conclusions were the same.