Correlation Analysis between Stock Price and Accounting Profit Based on a Vector Autoregressive Model

Abstract

The study of accounting profitability was initiated by the famous American scholars Ball and Brown in the 1960s. In recent years, with the continuous development of market economy, the continuous improvement of the accounting legal system and accounting standards for enterprises has promoted the research on accounting profit in capital market in China. Due to the restriction of some objective conditions, there are not many valuable research results on the relationship between accounting earnings and stock price changes, and the research methods suitable for the study of accounting earnings still need to be explored and summarized. The China Securities Regulatory Commission (CSRC) has required listed companies to publish quarterly financial and accounting reports since 2002, and the condition of using the regression analysis method to study the accounting profit of listed companies is available. In this context, this paper designs a vector autoregressive model to study the correlation between stock price and accounting profit. First, combining the literature and the research results of accounting profit at home and abroad, this paper expounds the statistical analysis of accounting profit. Then, this paper analyzes the accounting profitability of listed companies in China from static and dynamic perspectives. Finally, according to the accounting profit status and profitability statistical analysis of accounting information, accounting profit and growth relationship, and accounting profit information and the relationship between stock prices, this paper is concluded. Also, this paper shows how to improve the profitability of listed companies and how can investors effectively use the accounting earnings information of listed companies for stock investment and put forward corresponding policy suggestions.