Research On The Dynamic Correlation Between My Country's Stock Market And Economic Indicators

With the rapid economic development,the stock market share is also steadily growing in the asset allocation of Chinese.From an operational status to the development,the stock market can not only react the national economic development towards the healthy direction or not,but also express the national market system perfect or not.Since China's stock market started late with immature system and the economic situation is more severe,so the development of the stock market is still evolving.Thus,the paper has evaluating theoretical and practical significance on analyzing the intrinsic link between the stock market and macroeconomic changes and studying the the role of the stock market in promoting economic development.This paper selects the data monthly index of economic indicators during January2005 to August 2019 and the Shanghai Composite Index to analyze the dynamic correlation between macroeconomic and stock market combined with national economic policies.Firstly,historical analysis and comparative analysis are to sort out research and then found that the economic indicators and the stock market may have some relevance.Secondly,it is subjected to quantitative analysis and qualitative analysis of the processed X-12-ARIMA seasonal adjustment combined with each data trend indicators.Finally,each index is used to do ADF test,Johanson test,Granger test and DCC-GARCH modeling process in order to analysis their correlation.It was found that the correlation coefficient between the Shanghai Stock Index and consumer data indicators is relatively volatile from the entire sample interval.The overall relationship between the two shows a low degree of correlation,but in 2008 and 2009 shows high.The correlation with price data indicators is basically stable with few large fluctuations.The period of greater volatility occurred at the beginning of 2008,the end of the year,and the end of 2009,showing a highly correlated state.The correlation with international trade index indicators is relatively stable,showing a weak correlation.In 2015,the export index index and the Shanghai Stock Index showed an unprecedentedly high negative correlation.The trends associated with the consumer sentiment indices show a relatively sharp fluctuation,and there is a significant correlation between the two.At the same time,it is also found that the fluctuation of the correlation between the indicators is usually accompanied by major political decisions,such as the 2008 global financial crisis,the 2009 IPO restart,the 2014 comprehensive deepening ofreforms,the 2015 stock market crash,US Trade War and so on.Finally,this article makes a relevant analysis of the empirical results and puts forward suggestions that are conducive to market development.At the same time,it also shows the limitations of the research and provides possible directions for future research.