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Relationship of the exchange rate and stock prices

Author: ShenLin
Tutor: LiuXingGuo
School: Nanjing University of Technology and Engineering
Course: Business Administration
Keywords: Exchange rate Stock market prices Granger causality
CLC: F832.51;F224
Type: Master's thesis
Year: 2011
Downloads: 39
Quote: 0
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Abstract


Currently , the macroeconomic context of the continued appreciation of the RMB exchange rate , China's stock market will be what impact this problem is very worthy of study . Empirical analysis of the intrinsic relationship between China 's Shanghai stock market price of RMB real effective exchange rate , the following conclusions . The study results showed that : First , China's stock market , the real effective exchange rate of RMB and the Shanghai Composite Index did not exist long-term cointegration relationship between RMB real effective exchange rate movements and the Shanghai Composite Index changes there is a one-way causal relations , that is, changes in the real effective exchange rate of RMB lead to price changes, the Shanghai Composite Index . Second , between the real effective exchange rate of RMB Shanghai B refers there was no long-term cointegration relationship , however, the real effective exchange rate , changes in the Shanghai B unidirectional causal relationship exists between changes , resulting from a change of the real effective exchange rate of RMB Shanghai B refers to the price changes . Unidirectional causality background in the presence of the RMB exchange rate and stock market prices , in order to alleviate the negative impact of the RMB exchange rate movements may bring to China's stock market , the paper suggested that dilute the the constantly expected appreciation of the RMB short-term to stabilize the exchange rate market , the proposed regulation departments to develop a clear medium - and long - term exchange rate target of RMB , the the expected sharp appreciation of the RMB short-term into the steady appreciation in the medium to long term , to alleviate the negative impact of hot money on China 's stock market impact .

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