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Regression Analysis Model on Causal Relation between Macro Economy and Classification Index

Li Hua, Wen Zhu

Abstract



With expansion of stock market, the influences of shares that act on macro economy are increasing step by step. In order to reveal the effects of macro factors on different industries’ stock price, then help relevant policy-makers to regulate stock market escaping the force of large swings in macro economy which brought by stock price, new nonlinear regression models are established with Eviews6.0 software in the paper. We take macro variables as samples which are based on interest rate adjusting (the interest has been adjusted for 24 times from 1997 to June 8th, 2012, in China), conducting an in-depth study of the industry indexes on the Stock Exchange. The empirical results indicate that although the various indexes are apiece affected by different factors, they still have a positive relation with CPI, and a negative correlation with interest rate, PPI.

Keywords


Classification Index, Macro Economic Variables, Regression Analysis.

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