| Purchasing Manager Index(PMI)is the first-hand material obtained by purchasing managers of manufacturing and service enterprises according to their real demand and supply situation,which can truly reflect the development trend of manufacturing and service industries to a certain extent.PMI of manufacturing industry and NMI have been released on the first and third working days of each month since they published.They have certain foresight and forecasting,and can usually reflect the future economic trend of a country.It is generally believed that the trend of stock and commodity futures markets is usually based on the overall economic form of a country.PMI is called the "barometer" of macro-economy,which often has an impact on the fluctuation of stock and commodity futures market index of a country,and thus has a certain impact on investorsr’ eturns.Therefore,it is of great practical significance to study the relationship between two kinds of PMI and stock and commodity futures markets in China,whether from the income of investors or the stable development of China’s capital market.This paper chooses the data of PMI of manufacturing industry and NMI from January 2007 to December 2018.At the same time,it chooses the corresponding period as the data of the monthly closing price of Shanghai-Shenzhen 300 Index and CFCI Index of commodity futures market.Through the VAR model,it empirically analyses the relationship between PMI of manufacturing industry and NMI and Shanghai-Shenzhen 300 Index and commodity CFCI.Empirical results of NMI PMI and Shanghai-Shenzhen 300 index show that:(1)Granger test results show that there is a two-way causality between the three variables of the VAR(4)model;(2)impulse analysis results show that Shanghai-Shenzhen 300 index produces positive feedback in the second period of PMI of manufacturing industry shocks,from the third period to the negative one.For NMI,the response of Shanghai and Shenzhen 300 index fluctuates positively and negatively;At the same time,PMI of manufacturing industry and NMI will generate positive feedback in the first period after the Shanghai-Shenzhen 300 index hitting,reach the maximum in the third period,and then gradually decline to zero.(3)The results of variance decomposition show that PMI of manufacturing industry and NMI can explain the fluctuation of Shanghai-Shenzhen 300 index to a certain extent after excluding the factors affecting the index itself.The empirical results of NMI PMI and commodity CFCI show that:(1)Granger test results show that there is a two-way causality between the three variables of the VAR(7)model;(2)impulse analysis results show that commodity CFCI has a positive response in the second phase of manufacturing PMI under a positive impact and reaches its maximum in the fourth phase,from the fifth to the negative response.For NMI,the positive response is maximal in phase 2 and negative in phase 8.After a positive impact on commodity CFCI,the manufacturing PMI response fluctuates positively and negatively,and the NMI produces positive feedback;(3)The results of variance decomposition show that after eliminating the influence factors of commodity CFCI itself,the manufacturing PMI and NMI in China can explain the fluctuation of commodity CFC to a certain extent。In addition,the differences between NMI PMI and Shanghai-Shenzhen 300 index or commodity CFCI are mainly reflected in the following aspects:Firstly,according to the results of Granger test,The two-way causality between two kinds of PMI and commodity CFCI is stronger than that between Shanghai-Shenzhen 300 Index;the second is the comparison of impulse analysis results.After simultaneously imposing a unit of positive impact on manufacturing PMI and NMI,commodity CFCI has more regularity in response degree and direction than Shanghai-Shenzhen 300 index;thirdly,the comparison of the results of variance decomposition,after eliminating the influence factors of Shanghai-Shenzhen 300 index or commodity CFCI itself,the two PMI indices have certain explanatory power to their fluctuations,but the variance contribution rate of manufacturing PMI to Shanghai-Shenzhen 300 index and commodity CFCI is higher than that of NMI. |
