Abstract We study the relationship between the Chinese macroeconomy and the Chinese stock markets, i.e., the bourses in Shanghai and Shenzhen. With this goal, we utilize multiple Granger causality and Geweke linear dependence and examine likelihood ratio statistics between two sectors of the Chinese economy: the Chinese economic prosperity score (EPS)—and its departure from a "healthy level" (EPS-D)—and composite indexes for Chinese securities markets—Shanghai composite (SH) and Shenzhen composite (SZ). The data cover nine years. The authors found no evidence that SH and SZ Granger cause economic prosperity. The evidence supports the notions that Chinese stock markets respond greater to changes in EPS-D than to EPS and that the SZ is more sensitive to changes in the economy than the SH.