本文選題：人民幣匯率　切入點：股票價格　出處：《湖南大學(xué)》2012年碩士論文　論文類型：學(xué)位論文

【摘要】：2005年7月21日人民幣匯率制度改革之后，人民幣邁上快速升值軌道。與此同時，在各種力量的綜合作用之下，中國股票市場也先后經(jīng)歷了一番波動。伴隨著中國金融市場的不斷開放和改革，中國匯市和股市之間的聯(lián)系越加緊密，二者間的關(guān)系已受到學(xué)術(shù)界和實業(yè)界人士的廣泛關(guān)注，迄今已產(chǎn)生了較多的理論和實證研究成果。然而，由于各種條件的限制，中國現(xiàn)有的的相關(guān)研究并不充分，因此對人民幣匯率和中國股票市場之間關(guān)系進(jìn)行更為深入的探討具有重要的理論和實踐意義。 在此情況下，首先從理論角度出發(fā)，全面分析匯率和股票市場之間的影響機制，并結(jié)合中國實際情況，對人民幣匯率和中國股票市場間的關(guān)系以及人民幣匯率波動對中國股票市場上市公司的影響進(jìn)行客觀分析。然后選取2005年7月22日至2011年12月31日之間的人民幣兌美元名義匯率、A股市場指數(shù)、H股市場指數(shù)的日數(shù)據(jù)對人民幣匯率波動和中國股票市場價格之間的關(guān)系進(jìn)行實證研究。最后以2005年7月至2011年12月為研究期，選取月度數(shù)據(jù)，采用Jorion模型和面板數(shù)據(jù)模型，對人民幣匯率波動對A股和H股股票收益率的影響進(jìn)行研究，并進(jìn)一步分析了人民幣匯率波動對兩個市場上各行業(yè)以及A+H股交叉上市公司股票收益率的影響。 研究結(jié)果顯示，A股、H股指數(shù)均與人民幣匯率呈正向關(guān)系，即與人民幣升值相伴的是A股和H股指數(shù)的上漲。且無論從市場整體角度還是分行業(yè)角度來看，兩個市場上研究對象的股票收益率均受到來自人民幣升值的負(fù)面影響，即人民幣升值將導(dǎo)致A股和H股股票收益率下降。此外，對于A+H股上市公司，，總體看來A股股票收益率受到人民幣匯率變動的影響更大�？傮w來看，A股股票收益率受到人民幣升值的沖擊大于H股，但各行業(yè)的影響系數(shù)存在一定差別。最后，根據(jù)研究結(jié)論，有針對性地提出政策性建議。
[Abstract]:In July 21st 2005, after the reform of the RMB exchange rate regime, the RMB entered the track of rapid appreciation. At the same time, under the combined action of various forces, China's stock market has also experienced some fluctuations. With the continuous opening and reform of China's financial market, the links between China's foreign exchange market and the stock market have become more and more close. The relationship between the two has attracted extensive attention from academics and businessmen. Up to now, there have been many theoretical and empirical research results. However, due to various conditions, the existing research in China is not sufficient. Therefore, it is of great theoretical and practical significance to probe into the relationship between RMB exchange rate and Chinese stock market. In this case, first of all, from a theoretical point of view, an overall analysis of the impact mechanism between the exchange rate and the stock market, and combined with the actual situation in China, This paper makes an objective analysis of the relationship between RMB exchange rate and Chinese stock market and the influence of RMB exchange rate fluctuation on listed companies in Chinese stock market. Then it selects RMB from July 22nd 2005 to December 31st 2011. The daily data of nominal exchange rate against US dollar, A share market index and H share market index are used to study the relationship between RMB exchange rate fluctuation and Chinese stock market price. Selecting monthly data, using Jorion model and panel data model to study the impact of RMB exchange rate fluctuation on the stock returns of A-shares and H-shares. The paper also analyzes the influence of RMB exchange rate fluctuation on the stock yield of each industry and A / H cross-listed company in the two markets. The results show that both A-share and H-share indices are positively related to the RMB exchange rate, that is, the appreciation of RMB is accompanied by the rise of A-share and H-share indices. The stock returns of both markets are negatively affected by the appreciation of the renminbi, that is, the appreciation of the renminbi will lead to a decrease in the returns of A-shares and H-shares. In addition, for A-H listed companies, On the whole, the rate of return of A shares is more affected by the change of RMB exchange rate. In general, the rate of return of A shares is affected more than that of H shares by RMB appreciation, but the coefficient of influence varies from industry to industry. Finally, According to the conclusions of the study, the policy recommendations are put forward.
【學(xué)位授予單位】：湖南大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2012
【分類號】：F224;F832.52;F832.51

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