The Empirical Research of China's Securities Market and Macroeconomy under the Financial Crisis

According to the monthly data over the period 2006 to March 2010, this paper empirically analyzed the relation of China's economical development from the financial crisis. For the data series of gross domestic product (GDP) existing seasonal effect, this paper first propose a model based on X-11 process to do seasonal adjustments. Then the result of the unit root test, co-integration indicated that a long-term equilibrium relationship existed between the stock price index and macroeconomic variables and we finally established the co-integration regression model. The results showed that there is a negative correlation between the stock price index and China's gross domestic product, and meanwhile the stock price is closely related to money supply and the exchange rate for the same period in the context of the financial crisis.