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China's stock market and the macroeconomic Cointegration Analysis between

Author: SongXueQiong
Tutor: TangLi
School: Central South University
Course: Probability Theory and Mathematical Statistics
Keywords: unit root test co-integration analysis error correction model(ECM) Granger Causality test
CLC: F832.51;F124
Type: Master's thesis
Year: 2011
Downloads: 240
Quote: 2
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Abstract


Chinese stock market has developed over twenty years, the stock market scale of China extends continuously and the operation of Chinese stock market constantly moves forward to the normal direction. But stock exchange of China is still an immature developing stock market. Market behavior is influenced by lots of economic and non-economic factors, so there is still not a nationally uniform stock market. So the purpose of this paper is contacting the whole macroeconomic and stock market to take into the system analysis. Mathematical statistical methods and dynamic model sepecialized methods is subtly mixed in co-integration modeling theory and the economy construction model describing unknowable data generation process(DGP)is built, so the economic system inner law can be illustrated more effectively and accurately by time series modeling.The development of co-integration analysis theory provides an emollient tool for studying the relation between economic variable and stock market.This article is divided into five parts. The first part reviews the development of co-integration analysis theory and summarizes the research of domestic and foreign co-integration analysis.In the second part the relationship between stock market and macroeconomic theory are represented.In the third part, some simple stochastic processes and time series analysis model are introduced, then, the structure and main features of unit root process are described, the concept of co-integration and the methods of co-integration test are introduced.The forth part is an empirical analysis. Comprehensive price index of Shanghai stock is taken as study object in this paper, selecting GDP、fixed asset investment、consumption price index、merchandise retail price index、import and export sum、currency and precise currency、currency、circulate medium cash、exchange rate as explanatory variables, adopting month data over the period 2004—2008 to test co-integration relation. The result of empirical analysis indicates that there is a co-integration relation between stock price index and parts of macroeconomic variables, such as consumption price index、merchandise retail price index、import and export sum、fixed asset investment、currency、currency and precise currency. To some extent, this means Chinese stock market has reflect the development of macroeconomic. Then, we obtain their co-integration and error correction model equation(ECM),which reflects the long-term static and short-term dynamic relationship between the stock price index and macroeconomic variables. We use Granger Causality to determine the lead - lag relationship between them.The last part is an analysis of empirical conclusions and policy recommendations. The main task is to analyz the results and put forward some feasible suggestions, and also pose the lack of this paper and future research.

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CLC: > Economic > The world economic profiles,economic history,economic geography > China's economy > Economic construction and development
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