Is Chinese stock market a barometer of macro economy?

摘要

How macro economy affects the stock market? Whether the stock market is a barometer of macro economy? This paper studies these questions based on the relationship analysis of the Shanghai A share volatility and macro economy. Using Granger causality test and VAR model, it empirically analyzed the relationship between the two series from May 2006 to March 2010. The results showed that the Granger causality between stock volatility series and macroeconomic variables was not significant.