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Complex Relationship Between Stock Price and Macro―Economy Based on Structural Equation Model.doc

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Complex Relationship Between Stock Price and Macro―Economy Based on Structural Equation Model 　　[a]Economics School， Beijing Wuzi University， Beijing， China. 　　*Corresponding author. 　　Received 12 March 2014； accepted 10 July 2014 　　Published online 15 September 2014 　　Abstract 　　Studying China’s stock market from a macroeconomic perspective has very important theoretical and practical significance. In the theoretical level， it can deepen our understanding of the field； but it can improve the investment combination of performance and increase our investment optional time reliability in the real level. This paper strikes up influence path diagram based on using the existing empirical research conclusion， and gets its path coefficient and the causal path diagram using the ML， ADF and GLS method. After the statistical significance test， we think the casual relationships of China’s stock market as followed can be accepted： firstly， the year-on-year increase of M1 will cause the rise of Shanghai index； secondly， the year-on-year increase of PPI will cause the decrease of Shanghai index； thirdly， the year-on-year increase of M2 will cause the decrease of Shanghai index； finally， the appreciation of the RMB will cause the increase of Shanghai index at last. 　　Key words： Complex relationship； China’s stock price； Macroeconomic variable； Structural equation model 　　Huo， Z. Q.， Yin， J. N. （2014）. Complex Relationship Between Stock Price and Macro-Economy Based on Structural Equation Model. Management Science and Engineering， 8（3）， -0. Available from： URL： http：///index.php/mse/article/view/5373 　　DOI： http：///10.3968/5373 　　INTRODUCTION 　　Managing the risk of the stock market is very important for the sustainable development of the financial system. In 2008， the global financial crisis has brought serious trauma to the world economy， which still did not heal. And the causes of the crisis were related with excessive financial innovation and the lack of supervis