Analysis of Cointegration between Macroeconomic Variables and Stock Index

Stock exchange market, that has function of accommodating capital and optimizing resource allocation, is a part of capital markets. And it play important role of economy development. Research of relationship between stock exchange market and macroeconomic variables has realism significance. This paper, according to Shanghai stock exchange market index representing stock market, chooses 8 macroeconomic variables to research both long time balance and short time fluctuation relation between Shanghai stock exchange market index and macroeconomic variables using unit root testing, cointegration analysis and vector error correction model. The result of practical example indicates that there exist longtime stabilization relation between Shanghai stock exchange market index and macroeconomic variables. The development of stock exchange market has some promotional effect on economy. That shows that Chinese stock exchange market reflects the development level of macroeconomic.