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Research on the Linkage of Exchange Rate Fluctuation and Stock Price

Author: FengChi
Tutor: MengZuo
School: Tianjin University of Finance and Economics
Course: Finance
Keywords: Foreign exchange market Stock market Linkage mechanism Reform
CLC: F832.51;F224
Type: Master's thesis
Year: 2011
Downloads: 197
Quote: 0
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Abstract


Currency exchange rate is a parity with his country's currency, which is reflected in the volatility of the international purchasing power of currency changes. Stock market prices are a country's economic \Exchange rate and stock prices were reflected in the foreign exchange market and capital market prices, but also reflects an important indicator of the economic strength of the country. These two indicators are interlinked and mutually checks and balances, analytical linkage between both internal and external balance helps to analyze the macroeconomic constraints. Therefore, the study of the linkage between exchange rate and stock market will help to further improve China's financial system, and how to avoid exchange rate volatility and the risk of price rises and falls of great theoretical and practical significance. This paper is divided into five parts, the introduction to Part 1 introduces the domestic and foreign exchange rate fluctuations on the stock price linkage relationships with relevant research and literature review, the main contents of the article and used research methods and innovations; Part 2 part is about the exchange rate volatility and stock price linkage between the basic theory; Part 3, the Japanese \Crash intrinsic conduction mechanisms and resulting in painful lesson; Part 4 through the latest data on the RMB exchange rate volatility and stock price linkage mechanism empirical test; Part 5 by first analyzing the current Chinese foreign exchange market and the capital market and the degree of linkage pros and cons of performance, and then China to strengthen the linkage mechanism between the two proposals. This article uses econometric methods to fluctuations in exchange rates and stock prices on the relevance of research, the use of the RMB real effective exchange rate and the Shanghai Composite Index closing price of monthly data as a model sample, hoping to prove more updated data between the two linkage relationships. In the existing literature, scholars mostly only concerned with whether there is correlation between the two, as well as issues such as the direction of causality. On this basis, this paper seeks to present a comprehensive analysis on China's exchange rate regime choice under the foreign exchange market and the stock market are linked to the national economy brought about the pros and cons, on how to take advantage of this linkage between promoting China's economic development and the direction toward internal and external equilibrium How to avoid this linkage gives the fluctuations caused by economic policy recommendations.

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CLC: > Economic > Economic planning and management > Economic calculation, economic and mathematical methods > Economic and mathematical methods
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