Management Review

›› 2018, Vol. 30 ›› Issue (9): 3-11.

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Analysis of the Correlation between Stock Market and Macroeconomic Operation: A Perspective of Policy Expectation

Kou Mingting1, Yang Haizhen2, Wang Shouyang2,3   

  1. 1. Donlinks School of Economics and Management, University of Sciences and Technology Beijing, Beijing 100083;
    2. School of Economics and Management, University of Chinese Academy of Sciences, Beijing 100190;
    3. Academy of Mathematics and Systems Science, Chinese Academy of Sciences, Beijing 100190
  • Received:2016-02-16 Online:2018-09-28 Published:2018-09-29

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Abstract:

The release of forecasted economic data by some forecasters often result in the fact that macroeconomic information, when officially announced, has no longer been completely unknown to financial markets and investors. Accordingly, the resultant estimation of spillover effects between asset prices and macroeconomic policies is biased. On the basis of the specialized discrimination between the expected and unexpected parts of macroeconomic information, we construct a generalized C-GARCH model, and estimate the dynamic correlative relations between stock market and macroeconomic operation from the perspective of policy predictability, which are implemented respectively by accounting for policy heterogeneity and industry differences. Then we employ the generalized T-GARCH model to do the robust test. The empirical results show that the effect of unexpected part of macroeconomic operation on the stock market is greater than the expected part. Due to the difference of the macroeconomic information, the fluctuation difference of stock market between the long-term and short-term levels is significant. Furthermore, the extent of stock price synchronicity varies among industries, and those that are more correlative to macro-economy include energy, material, consumer and pharmaceutical industrials.

Key words: stock price, macroeconomic information, policy expectation