Research on the Relationship Between CPI and the Shanghai Composite Index
DOI:
https://doi.org/10.54097/5b89v968Keywords:
CPI, Shanghai Composite Index, VAR Mode.Abstract
Previous literature has primarily used the price-to-earnings ratio method to analyze stock indices. Given the current phenomenon of the inverted relationship between CPI and PPI in China, empirical research on the impact of CPI on stock indices has attracted scholarly attention. Therefore, this paper employs a VAR model, selecting monthly data on CPI and the Shanghai Composite Index (SZZS) from December 2009 to March 2024 for empirical research. Using the VAR model, it is discovered that the first lag of CPI has a positive relationship with the SZZS, while the second lag exhibits a negative relationship. However, this study does not establish a Vector Error Correction Model to verify the long-term impact of CPI on the SZZS.
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