Abstract: The capital market is derived from the real economy and gradually evolves into a more complete system. The interaction and internal correlation between the capital market and economic growth has been the focus of academic research. However, based on the dichotomous thinking, the research conclusion leads to two opposite directions: correlation and deviation. In fact, the impact of random factors on the capital market and economic growth is mainly reflected in the short-term level, and the essential operation law of the two should be demonstrated from the long-term perspective. In view of this, this paper takes the world's three largest economies with the most prominent typical facts as samples, and uses wavelet analysis to identify the change mechanism of capital market and economic growth data from a long-term perspective on the basis of both time domain and frequency domain. The results show that there is a long-term co-dynamic effect between capital market and economic growth, and the capital market is generally ahead of economic growth. The more developed the capital market is, the more obvious the long-term co-dynamic effect is and the shorter the lead time is.

Key words: capital market; Economic growth; Wavelet analysis; Long-term codynamic effect