Correlation Research Based on Cointegration between China In-Market Social Security Funds and Development of China Stock Market

China Social Security Funds is operated in the capital market to meet the needs of the aging population and future health care reform, and the purpose is to preserve and increase its value. In recent years, the Social Security Funds has been investing part of its funds into the stock market, which not only boosting their own development but also playing a very important role in the development and expansion of the stock market. In this article, three indicators and Granger Causality test are used to analyze the cointegration. The first indicator is in-market Social Security Fund investment scale, the second is the Shanghai stock market liquidity indicators and the third one is Shanghai stock market trading volume. These indicators are able to have a better reflection of a country´s Social Security Funds and characteristics of stock market. Conclusions of this article are as follows: (1) In-market Social Security Funds investment scale is the Granger cause of the Shanghai Stock market liquidity, and vice versa.; (2) In-market Social Security Funds investment scale is the Granger cause of stock market trading volume, and vice versa.