Correlation and Impact of SSEC and SZI Empirical evidence based on VAR model

Abstract

Today, the world economy is experiencing globalization and diversification, and China's economy is also developing rapidly, also the development speed of the capital market has been significantly improved. Among them, the impact of the development of the securities industry on China's capital market cannot be ignored. As the two major stock exchanges in China, the Shanghai Stock Exchange and the Shenzhen Stock Exchange are not to be underestimated in the securities market. Therefore, the Shanghai Securities Composite Index (SSEC) and the Shenzhen Securities Component Index (SZI) represent the direction of China's stock market to a certain extent. Therefore, this paper will start from the perspective of SSEC and SZI, select the data for a total of 10 years from 2009-2018, and try to construct the VAR model, and finally draw the impulse response function graphs of both of them. The basic conclusions of the study are the SSEC has a relatively large impact on the capital market, while the SZI has a relatively small impact on the capital market. Therefore, the inspiration for investors is that the SSEC is more informative and useful when making investments.