Empirical Analysis of China Purchasing Managers Index(PMI) and Shanghai Composite Index(SH)

wang jiayi

Abstract


Studying the relationship between PMI and SH is of great significance to analyze the trend of stock market and a industry's development ability quantitatively and promote the healthy development of economic society. The paper employs VAR model based on econometrics, conducting the unit root test, the co-integration test and impulse response to analyze the relationship between purchasing managers index(PMI) and shanghai composite index(SH) from January 2009 to July 2011, furthering empirical research to improve accuracy and credibility of prediction on stock market.The conclusions of the research are that PMI has a longterm co-integration relationship with SH,in addition playing a positive role to SH. Consequently, correct application of PMI is of great importance in analyzing and predicting the trend of stock market. In brief, the conclusions are matched with the actual situation of China.


Keywords


PMI; SH; VAR; Impulse response analysis

Full Text:

PDF

Refbacks

  • There are currently no refbacks.


Creative Commons License
This work is licensed under a Creative Commons Attribution 3.0 License.

AAEF©: World Science Publisher United States