Abstract: Apply the VAR model to the Value of Capital Raising, , dividends of all listed firms, amount of stamp duty collected from stock trading and the SHSE-SZSE 300 Index to analysis the long-term equilibrium relationship and short-term adjustment. Empirical results of Cointegration Test and error correction model demonstrate that in the long run, M2 has negative effect on stock index, while other variables have positive ones. However, in the short run, there exist some market characteristics that are different from those in the long run. These empirical conclusions are not consistent with and even contrary to several prevailing ideas. which consequently further extend some valuable inferences and policy recommendations.

Key words: SHSE-SZSE 300 Index, the Value of Capital Raising, Dividends, Stamp Duty