Research On The Function Of Ecological Barometer Of China's Stock Market And Its External Linkage

In the past five years,marketization and internationalization have become two important directions in the development of Chinese stock market.Correspondingly,the interaction between China's stock market and economic environment and the linkage with the major international stock markets should be the focus of research in that movement.Based on the theory of natural ecology and financial ecology,this paper puts forward the concept of stock market ecology,and expounds the ecosystem of stock market in China.This is conducive to grasp the evolution and development of the stock market in the movement,to shape the concept of sustainable development of the stock market,to build the ecological balance of the stock market,and to prevent systemic financial risks.Based on the overview of the ecological environment of China's stock market,this paper makes a targeted study on the economic environment and the international environment of China's stock market ecology from the perspective of the interaction with economic environment and the linkage with other major markets.Firstly,this paper analyzes the economic environment of stock market ecology in China from three aspects: total amount,price level and liquidity.And this paper studies the interaction between stock market and economy by selecting the index of capital carrying capacity and economic environment factors.By using VAR model,Granger causality test and impulse response function analysis,we found that the interaction between the ecological capital capacity index and the total macroeconomic factor index and the price index has been strengthened significantly after the reform of split share structure with the two groups of samples were compared from January 2000 to September 2017 and September 2005 to September 2017.This means that the function of the stock market as a "barometer" has been improved.From the viewpoints of value flow and information transmission,it is proposed to broaden the institutional investors' access,regulatory focus on the trading system and perfect the relevant dialogue mechanism,and to streamline the flow of information in the stock market.Secondly,under the background of increasing internationalization of China's stock market,we conducted a study on the linkage between China's stock market other stock markets after the Shanghai-Hong Kong Stock Connect.The study reveals the structural changes in the linkage between Shanghai and Hong Kong Stock Market firstly by using the linear VAR model with sample data for 3 years before and after Shanghai-Hong Kong Stock Connect program.Then this study proposes the time-varying inhibitory effects of exchange rate fluctuations on stock market volatility from the perspective of investor heterogeneity and cross-market asset allocation,and uses the exchange rate as a threshold variable to analyze the inter-city linkage transition of the two samples.This study finds that the increase in exchange rate volatility has an inhibitory effect on the linkage between Shanghai and Hong Kong,and that there is only a one-way short-term volatility spillover effect between Shanghai stock market and US stock market from US stocks to Shanghai stock market after Shanghai-Hong Kong Stock Connect program.This paper proposes the establishment of a dynamic monitoring mechanism for the exchange rate to the stock market,a strict review of the source of funds for entering the market,and a proposal to attach importance to monitoring the risk of various sentiments among different markets in the new era.This paper draws three conclusions through the study of the perspective of the interaction with economic environment and the linkage with other major markets.Firstly,after the non-tradable shares reform,the interaction between the capital carrying capacity of China's stock market and the elements of the economic environment has been significantly enhanced,and the function of the stock market as an economic "barometer" has been improved.Secondly,after the Shanghai-Hong Kong Stock Connect,the linkage between the Shanghai and Hong Kong markets will weaken with the increase in the daily volatility of the RMB exchange rate.On the contrary,the linkage between the two markets will strengthen.Thirdly,after the Shanghai-Hong Kong Stock Connect,the linkage of US stocks to China's stock market still reflects the one-way conduction from US stocks to Shanghai Stock Exchange,and it still takes time for the development of China's stock market ecology to be external.