An Empirical Analysis on the Relationship between Stock Price Index and Macroeconomic Variables in China

: The relationship between the stock price index and the macroeconomic variables has always been the hot topic in the economics field. From the point of view of empirical analysis, this paper made Unit-Root Test, Co-integration Analysis, Granger Test and Impulse Response Analysis on the relationship between the stock price index and macroeconomic variables such as industrial production, money supply, interest rate, save and price index based on the monthly data from January in 2016 to March in 2021. The result shows that there exists the negative relationship between stock price index and long-term interest rate and save; while the stock price index is positive with industrial production and short-term interest rate; furthermore, there exists the positive relationship between stock price index and the initial stages of the money supply and inflation, while the stock price index is negative with the later period of the money supply and inflation.