The Research of the Correlation between Stock Market and Macroeconomy--Based on Comparison of Chinese and American Stock Markets

• 作者: Yuzhang Su
• 来源期刊: 经济管理学刊:中英文版
• 学科: 经济
• 关键词: STOCK Market MACROECONOMY VAR Model IMPULSIVE Response Variance DECOMPOSITION
• 年，卷（期）: 2018,（2）
• 页码范围: 203-212
• 页数: 10页
• 分类号: F

摘要

Since 2008,the economic volume of the United States has gradually decreased from 30% of world GDP to 20%-25%,and China has risen from 7% to 15%.However,face at a fast-growing economy,China's stock market has been sluggish,contrast strongly to the US's thriving stock market.This paper studies the correlation between stock market and macroeconomy,based on the perspective of stock market and macroeconomy between China and the United States.This article takes China and the United States from 1999 to early 2017 as the time frame.Choosing the Shanghai Stock Exchange securities market,the S&P 500 index and the macroeconomy indicators and policies of China and the United States as research objects,using a comparative method to study the interactive relationship between the two major economies.In addition,this paper analyzes the parts of macroeconomy and microlisted companies in economic and financial theory,and innovatively applies the four different aspects of macroeconomy of total seven indicators to more fully represent the macroeconomy.This paper establishes the VAR model,impulsive response,and variance decomposition to explore the interaction between trends of the stock market and macroeconomic trends.The research results show that the stock market trend is positively related to the macroeconomic trend.China's stock market is greatly affected by capital,and the reason why the US stock market can develop better under the condition that the macroeconomic development is not as good as China's,because of the unique status of the US dollar.Finally,this paper combines descriptive analysis and empirical analysis results to propose policy recommendations for China's stock market and macroeconomic development.