Empirical Study On Multi-factor Impact Factors Of Shanghai Composite Index

The stock market,as a very important component in the capital market,fully reflects the macroeconomic performance of a country.When a country's stock market operation mechanism is relatively mature,the changes of macro-economy also determine the basic aspect of the stock market.Since the end of 2005,the split share structure reform has been fully implemented in China,and the turning point of China's stock market has also changed.At the same time,more and more experts and scholars began to pay attention to the research on the influencing factors of China's stock market.Studying the impact factors of the Shanghai Composite Index from multiple perspectives can provide a more comprehensive understanding of the trend of China's stock market,which is conducive to the healthy and stable development of China's capital market.The previous studies on the influencing factors of the Shanghai Composite Index,most of which have explored one aspect of the SSE Composite Index from the micro level.The influencing factors of the SSE Composite Index cannot be fully grasped and the problem is more one-sided.In fact,changes in stock indexes are more affected by macro factors.Therefore,on the basis of previous studies,this paper uses the idea of linkage effect and multi-factor model to comprehensively analyze the influencing factors of the Shanghai Composite Index,and explore the influencing factors of the Shanghai Composite Index from a macro level to achieve a comprehensive and systematic understanding of the nature of the problem.First of all,five indexes such as the exchange rate of USD to CNY,Purchasing Managers index and Dow Jones Index were selected from the aspects of foreign exchange market,macro economy,other stock market,monetary policy and gold market to establish factor library.Cointegration analysis,GRANGER causality analysis and fluctuation intensity analysis,VAR model,ARIMA model and DCC-GARCH model were established to comprehensively compare the strength of the linkage effect between each impact factor in the factor library and the SSE composite.Finally,a multi-factor model is established by using the influence factors to comprehensively analyze the influencing factors of SSE Composite index from the macro level.According to the empirical results,the exchange rate of USD to CNY,PMI,the Dow Jones Index and SSE Composite Index have the strongest linkage effect,among which the exchange rate of USD to CNY has a negative impact on SSE composite index,while Purchasing Managers index and Dow Jones Index have a positive impact on SSE composite index.For policy makers,while gradually realizing the marketization of RMB exchange rate,they should strengthen macro-control,maintain the stability of China's currency value,and prevent interconnected risks.Meanwhile,improving the efficiency of resource allocation,vigorously developing the real economy,and promoting the healthy and stable development of the stock market are also important for the policy makers.For investors,it is necessary not only to focus on the domestic macroeconomic operating conditions and the relevant policy guidance issued by the government,but also to pay attention to the trend of international stocks and gold prices,so as to effectively realize cross-market asset allocation,avoid risks and improve returns.