The Empirical Research on the Relationship between Chinas Stock Market and Macro Economy

摘要：

Using the monthly data over the period from 2006 to March 2010, this paper empirically analyzes the relation between Chinas economical development posted after the financial crisis of 2008 and its stock market. Due to the data series of gross domestic product (GDP) existing seasonal effect, this paper first proposes a model based on X-l 1 process to do seasonal adjustments. Then the results of the unit root test, co-integration indicates that a longterm equilibrium relationship existed between the stock price index and macroeconomic variables. Finally, we can establish a co-integration regression model. In a whole, these results show that the stock price index affects the national Consumer Price Index and Currency Exchange Rate in the context of the financial crisis.

关键词： The unit root test X-l 1 model Co-integration regression model Macro-economy

作者: ZHAO Shu-rong CHEN Shao-gang WU Jin-na

作者单位: School of Political Science and Public Administration, University of Electronic Science and Technolo University of Electronic Science and Technology, Chengdu, P.R. China, 611731

会议类型: 国际会议

会议名称: 2012 International Conference on Public Administration(8th)(2012年公共管理国际会议 ICPA)

会议地点: 印度海德拉巴

会议语种:英文

页码: 52-63

在线出版日期: 2012-10-25（万方平台首次上网日期，不代表论文的发表时间）