The paper verifies the wealth effect of Chinese stock market in 1998–2008 with rolling sample at first and then studies some controversies about it with ECM method. After that the paper makes some conclusions: there is a wealth effect in Chinese stock market in whole, Although it is yet not notable; in short term, stock market's wealth affects consumption with each other, and the former has some substitution effect on the later in some times; in long term, it is stock market's wealth that depends on consumption; Chinese stock market behaves as a semi-effective market and has too much speculation, which restricts the wealth effect of stock market. In the end, the paper gives some suggestions on exerting wealth effect.
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