Naiqian Li.  Research on the Relationship between Macroeconomic Variables and Stock Price Index under Multiple Linear Regression Analysis.  Dynamic Systems and Applications 29 (2020) No. 3, 793-802

https://doi.org/10.46719/dsa202029331

ABSTRACT.
Articles based on China’s stock market, select 2002– relationship between the 2011 Shanghai Composite Index as well as macroeconomic variables (deposit interest rates, GDP, money supply), etc., according to the stability of the macroeconomic variables are different, take influence is suitable for stationary time series of different research methods Multiple linear regression analysis of macroeconomic variables on stock price index, to study the relationship between stock price index of variable factors. The research shows that China’s stock market and macroeconomic development goals roughly the same, fluctuations in macroeconomic variables can deliver on the stock market through a market mechanism in a short time or the current period, thus have some impact on the index. Especially GDP and valleys presented linear correlation between changes in GDP of 1%, it can lead to changes in stock index 0.63%. The above values are explained China’s stock market has tended level, but there is still policy, it does not reflect the operation of the market economy. There is a weak correlation between Chinese stock market and the macro-economy, which is both the result of frequent government intervention, but also the stock market reasons of their own development.

Keywords: multiple linear regression model; macroeconomics; economic variables; stock index; gross national product.