Causal Relationship among the National Wealth, the Consumption and Shanghai Composite Index

Based on data between the December 1990 to July 2009 of the industrial added value, retail sales and the Shanghai composite index, Cointegration and Granger Causality test have been done and found that: a) An stable cointegration relationship exists among the industrial added value, retail sales and Shanghai composite index, and they are positively correlated. b) The total industrial added value and retail sales Granger cause the Shanghai composite index, but the reverse affect did not observed, which explain China's stock market is not yet a mature market. c) Compared to the total retail sales, the impact of industrial added value on the Shanghai composite index delayed a little longer.Keywords: cointegration test; Granger causality test; industrial added value; total retail sales; the Shanghai Composite Index