本文關(guān)鍵詞：匯率波動對股票市場的影響研究　出處：《天津財(cái)經(jīng)大學(xué)》2013年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 股票指數(shù) 匯率波動 格蘭杰因果檢驗(yàn) 外匯市場

【摘要】：匯率又被人們稱作為匯價,它是指本國國家貨幣和外國貨幣進(jìn)行兌換的相對價格,一旦匯率改變,那么購買者對產(chǎn)品的購買能力也會發(fā)生改變。然而股票的價格則是國家經(jīng)濟(jì)最終狀況的展示,如果匯率發(fā)生了變化,那么一定會作用在實(shí)體經(jīng)濟(jì)的本身。我國在80年代初期,開始逐步深化改革開放,并且當(dāng)時全球一體化的程度開始加深,匯率對我國的股市影響也開始變大。美國發(fā)生次貸危機(jī),導(dǎo)致了全世界經(jīng)濟(jì)一片低谷,人民幣快速升值腳步已逐步放緩,在2007-2008年我國的股票市場也開始由牛市慢慢走向熊市,股票價格持續(xù)走跌。我國資本賬戶還沒有徹底開放,所以國際上的熱錢不能順暢的進(jìn)入我國的證券市場,所以對我國的實(shí)體經(jīng)濟(jì)并沒有特別明顯的沖擊；可是由于我們國家的金融監(jiān)管力度不完善,導(dǎo)致了在國際上仍然有很多游資(hot money)通過不正常的渠道進(jìn)入我們國家的股票市場,并且把金融危機(jī)的危害擴(kuò)大,使人民幣加速升值,從而對股市發(fā)展產(chǎn)生不利影響,正是由于各種復(fù)雜原因,所以我們對匯率同股票二者之間的相關(guān)要素進(jìn)行研討是有很重要的現(xiàn)實(shí)意義的。政府可以根據(jù)匯率和股市的相互關(guān)聯(lián)性設(shè)計(jì)出相對的措施,從宏觀上對經(jīng)濟(jì)進(jìn)行調(diào)控,使股市良好的發(fā)展,至少達(dá)到及時制止股票和外匯市場中那些散布的流言的目的,在根本上使金融危機(jī)發(fā)生的概率降低,讓國民經(jīng)濟(jì)可以得到良好有序的發(fā)展。 這篇文章是在國內(nèi)外學(xué)者教授的研討基礎(chǔ)上,對他們的研討進(jìn)行分析、結(jié)合我國匯率以及股票市場實(shí)際進(jìn)行重新建模、分析,我們的數(shù)據(jù)來自于匯改后,利用人民幣對美元的匯率變化,和我國A股指數(shù)的采取分析研究,并且在實(shí)證分析建模階段,采取GARCH計(jì)量模型,把手中掌握的數(shù)據(jù)進(jìn)行分析,找出匯率變化和經(jīng)濟(jì)變化二者之間的關(guān)系,研究出股指同匯率二者的聯(lián)動關(guān)系,采取全面、完善的研析,探討人民幣的升值而產(chǎn)生的匯率改變對我國股票市場產(chǎn)生的波動,并以此為基礎(chǔ),對我國可采用的措施方法進(jìn)行總結(jié),并且提出了相對應(yīng)的主張。這篇文章主要分為五部分：導(dǎo)言是第一部分,大體上介紹了本次研究的背景、目的、意義和最后的研究動態(tài)；匯率的相關(guān)理論基礎(chǔ)是第二部分；第三部分,主要是使用GARCH計(jì)量模型進(jìn)行實(shí)證分析,而且分析了產(chǎn)生的緣由；在第四部分,提出了相應(yīng)的主張和對策；最后進(jìn)行總結(jié),并對將來發(fā)展趨勢進(jìn)行預(yù)測展望。
[Abstract]:The exchange rate is also known as the exchange rate, it is the relative price refers to the national currency and foreign currency exchange, once the exchange rate changes, so buyers to buy the product capacity will change. However, the stock price is the national economy final status display, if the exchange rate changes, then you must be in the real economy itself. In China at the beginning of 80s, began to gradually deepen reform and opening up, and the degree of global integration was started to deepen, the stock market impact of exchange rate on China also began to change. The U.S. subprime mortgage crisis, the world economy has led to a downturn, the rapid appreciation of the renminbi has gradually slowed pace, in 2007-2008 I China's stock market also started by the bull market slowly toward the bear market, stock prices continued to decline. China's capital account is not completely open, so the international hot money is not smooth In China's securities market, so the real economy of our country and no significant impact; but because of our country's financial supervision is not perfect, resulting in the world still have a lot of money (hot money) into the stock markets of our country through normal channels, and the harm of financial crisis to expand faster renminbi appreciation, which has a negative effect on the development of the stock market, it is due to a variety of complex reasons, so we are the related factors between the exchange rate with the stock of the two research has very important practical significance. The government can according to the exchange rate and stock market correlation design relative measures to control from the macro economy, the stock market good development, at least in time to stop the stock and foreign exchange markets in those rumors spread to the probability of the fundamental that the financial crisis occurred The reduction will enable the national economy to get a good and orderly development.
This article is based on research professor of scholars at home and abroad, for their research analysis, combined with China's actual exchange rate and the stock market re modeling, analysis, data from the US after the exchange rate reform, the RMB exchange rate changes to the dollar, and take analysis of China's A share index, and in the empirical analysis of the modeling stage, adopt GARCH econometric model, put in the hands of the data were analyzed to identify the relationship between exchange rate changes and changes in the economy of the two, research the relation of linkage, stock index and exchange rate of the two to take a comprehensive, complete research and analysis, to explore the appreciation of the RMB exchange rate changes have caused China's stock the volatility of the market, and on this basis, the measures can be adopted in China are summarized, and put forward the corresponding opinions. This article is divided into five parts: the first part is the introduction, on the whole Introduces the research background, purpose, significance and the study dynamic; relevant theoretical basis of the exchange rate is second; the third part is mainly an empirical analysis using the GARCH econometric model, and analyzes the reasons; in the fourth part, put forward ideas and corresponding countermeasures; finally summed up, and the the future development trend forecast.

【學(xué)位授予單位】：天津財(cái)經(jīng)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F832.6;F832.51

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