The study on relationship between macro-economy fluctuation and stock market fluctuation based on wavelet multi-scale transform

摘要

This paper presents a method for analyzing the relationship between the macro-economy and stock market at different time scales, in an effort to correct the deficiency that other usual methods have, which are performed at single time scale. Firstly, the variables of macro-economy and stock market are decomposed at multiple scales with wavelet transform. Secondly, correlation analysis and Granger Causality Test are conducted to these decomposed data, trying to find out the relationship between the macro-economy and stock market at different time scales. The analysis result shows that there do exist some relationship between macro-economy and stock market at some time scales.