Is the stock market a barometer of the economy?Based on 2005-2017 years' CSI 300 index and PMI data
LIU Chao1,2, ZHENG Ying1, LIU Chenqi3, LIU Siyuan4
1. School of Economics and Management, Beijing University of Technology, Beijing 100124, China; 2. Research Base of Beijing Modern Manufacturing Development, Beijing 100124, China; 3. School of Mathematics and Computer Science, Dickinson College, Carlisle PA 17013, USA; 4. Beijing-Dublin International College, Beijing University of Technology, Beijing 100124, China
Abstract：Based on historical data of CSI 300 index and purchasing manager' data between April 2005 and June 2017, this paper uses detrend cross-correlation analysis (DCCA), multifractal asymmetric detrend cross-correlation analysis method (MF-ADCCA), detrend cross-correlation analysis on the time-delay to study the dependence, asymmetry and transmission direction of China's stock market and economy, then introduces the detrend cross-correlation coefficient (DCCA coefficient) to compare and analyze the condition of domestic and foreign countries. The results indicate that the cross-correlation between stock market and economy is persistent, which shows that there is mutual influence between stock market and economy. The cross-correlation is asymmetric, indicating that the cross-correlation is more durable when the stock market return rate or the rate of economic growth is on the rise. There is inconsistency between the trend of stock market and the trend of economy, which indicates that the stock market is not the barometer of the economy. The casual relationship between them is bidirectional. For the same length of time-delay, the stock market could have a greater impact on the economy. Compared with the condition of the United States, Britain, the cross correlation between Chinese stock market and economy is the weakest. The above results provide important reference for macroecononic forecasting and regulation.
刘超, 郑莹, 刘宸琦, 刘思源. 股市是经济的晴雨表吗?——基于2005—2017年沪深300指数和采购经理人指数数据[J]. 系统工程理论与实践, 2020, 40(1): 55-68.
LIU Chao, ZHENG Ying, LIU Chenqi, LIU Siyuan. Is the stock market a barometer of the economy?Based on 2005-2017 years' CSI 300 index and PMI data. Systems Engineering - Theory & Practice, 2020, 40(1): 55-68.
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2020, Vol. 40 
