本文選題：匯率 + 股價(jià)　； 參考：《華中師范大學(xué)》2014年碩士論文

【摘要】：2005年5月,我國(guó)開(kāi)始實(shí)施股權(quán)分置改革,宣告我國(guó)股市即將進(jìn)入全流通時(shí)代,同年7月,拉響了人民幣匯率制度改革,匯率彈性進(jìn)一步增強(qiáng)。眾所周知,股票市場(chǎng)和外匯市場(chǎng)是我國(guó)重要的資本市場(chǎng),股價(jià)和匯率是反映股市和匯市行情和走勢(shì)的重要指標(biāo),如今,兩市的改革逐漸深入,我們不禁會(huì)問(wèn)：股市和匯市之間是否會(huì)有關(guān)聯(lián)性呢?若有,關(guān)聯(lián)性會(huì)是怎樣的呢?是正相關(guān)?負(fù)相關(guān)?是在增強(qiáng),還是減弱?等等。 國(guó)內(nèi)外有很多學(xué)者都在研究匯率和股價(jià)之間的關(guān)系,由于數(shù)據(jù)的時(shí)間范圍不同、變量的選擇不同、模型的設(shè)定不同、研究方法的差異等,最后得到的結(jié)論也不盡相同。本文在現(xiàn)有文獻(xiàn)的基礎(chǔ)上,從理論和實(shí)證兩個(gè)方面分析了我國(guó)匯率和股價(jià)之間的關(guān)聯(lián)性。在理論方面,主要介紹了研究匯率和股價(jià)關(guān)系的兩個(gè)經(jīng)典模型,并整理歸納了他們之間可能存在的五個(gè)重要的中介變量：利率、進(jìn)出口貿(mào)易余額、貨幣供給量、國(guó)際資本流動(dòng)和心理預(yù)期,從而,在理論層面上明確了二者之間的關(guān)聯(lián)性是有根據(jù)的。緊接著,在實(shí)證方面,本文考慮了中介變量,收集了匯改后最新最全的人民幣兌美元匯率、滬深300指數(shù)和利率的日度數(shù)據(jù),進(jìn)行了相關(guān)性分析、平穩(wěn)性檢驗(yàn)、Johansen協(xié)整檢驗(yàn)、VEC模型分析、Granger因果關(guān)系檢驗(yàn)、脈沖響應(yīng)函數(shù)分析、方差分解、ARCH效應(yīng)分析以及引入虛擬變量考察美國(guó)金融危機(jī)對(duì)匯率和股價(jià)關(guān)聯(lián)性的影響等等實(shí)證分析,并得到以下結(jié)論： 第一,人民幣兌美元匯率和我國(guó)股價(jià)之間存在長(zhǎng)期穩(wěn)定的均衡關(guān)系,并從協(xié)整方程中發(fā)現(xiàn),從長(zhǎng)期看,二者之間是正相關(guān)；但通過(guò)VEC模型方程得出,在短期內(nèi),它們之間呈現(xiàn)負(fù)相關(guān)關(guān)系。 第二,人民幣兌美元匯率與我國(guó)股價(jià)之間存在單向因果關(guān)系,股價(jià)是引起人民幣匯率變動(dòng)的格蘭杰原因,而人民幣匯率不是引起股價(jià)變動(dòng)的格蘭杰原因,這一點(diǎn)更加符合股票導(dǎo)向模型的結(jié)論。 第三,我國(guó)人民幣兌美元匯率和滬深300指數(shù)之間存在高階的ARCH效應(yīng),并且存在信息沖擊的非對(duì)稱性。 第四,美國(guó)金融危機(jī)對(duì)人民幣兌美元匯率和我國(guó)股價(jià)之間的關(guān)聯(lián)性產(chǎn)生了顯著性影響。 最后,本文結(jié)合理論分析和實(shí)證研究,為加強(qiáng)我國(guó)外匯市場(chǎng)和股票市場(chǎng)之間的關(guān)聯(lián)性提出了簡(jiǎn)要的政策建議。
[Abstract]:In May 2005, China began to implement the reform of split share structure, announcing that the stock market of our country is about to enter the era of full circulation. In July of the same year, the reform of RMB exchange rate system was initiated, and the exchange rate elasticity was further strengthened. As we all know, the stock market and the foreign exchange market are important capital markets in China, and the stock price and exchange rate are important indicators to reflect the market and trend of the stock market and the foreign exchange market. Today, the reform of the two markets is gradually deepening. We can't help asking: is there any correlation between the stock market and the currency market? If so, what would be the relevance? Positive correlation? Negative? Is it strengthening or weakening? Wait. There are many scholars at home and abroad are studying the relationship between exchange rate and stock price. Because of the different time range of data, the different choice of variables, the different model setting, the difference of research methods, and so on, the final conclusions are also different. Based on the existing literature, this paper analyzes the relationship between exchange rate and stock price in China from both theoretical and empirical aspects. In theory, this paper mainly introduces two classical models to study the relationship between exchange rate and stock price, and sums up five important intermediary variables that may exist between them: interest rate, balance of import and export trade, money supply, etc. The relationship between international capital flow and psychological expectation is theoretically clear. Then, in the empirical aspect, this paper takes into account the intermediary variables, collects the latest and most complete daily data of RMB / US dollar exchange rate, Shanghai and Shenzhen 300 index and interest rate after the exchange rate reform, and carries on the correlation analysis. The stationary test and Johansen cointegration test analyze the Granger causality test, the impulse response function analysis, the variance decomposition and arch effect analysis, and the introduction of virtual variables to examine the impact of the US financial crisis on the exchange rate and stock price correlation, etc. The conclusions are as follows: First, there is a long-term stable equilibrium relationship between RMB / US dollar exchange rate and Chinese stock price, and from the co-integration equation, it is found that in the long run, there is a positive correlation between the two, but through the VEC model equation, in the short term, There is a negative correlation between them. Second, there is a one-way causal relationship between the exchange rate of the RMB against the US dollar and the stock price of China. The stock price is the Granger cause of the RMB exchange rate, while the RMB exchange rate is not the Granger cause of the stock price change. This is more in line with the conclusion of the stock-oriented model. Thirdly, there is a high order ARCH effect between the RMB exchange rate and the CSI 300 index and the asymmetry of the information shock. Fourth, the US financial crisis has a significant impact on the relationship between RMB and US dollar exchange rate and Chinese stock price. Finally, based on theoretical analysis and empirical research, this paper puts forward some policy suggestions for strengthening the relationship between foreign exchange market and stock market in China.
【學(xué)位授予單位】：華中師范大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F832.6;F832.51

【參考文獻(xiàn)】

相關(guān)期刊論文 前10條

1 陳靜;李漢東;;中國(guó)市場(chǎng)匯率變動(dòng)與股票市場(chǎng)價(jià)格波動(dòng)的相關(guān)性研究[J];北京師范大學(xué)學(xué)報(bào)(自然科學(xué)版);2008年06期

2 袁懷宇;張宗成;;宏觀調(diào)控下的匯率與股價(jià)關(guān)系[J];財(cái)經(jīng)科學(xué);2009年05期

3 張方方;張琢;;人民幣匯率與股票價(jià)格的關(guān)系研究[J];財(cái)會(huì)月刊;2009年36期

4 嚴(yán)武;金濤;;我國(guó)股價(jià)和匯率的關(guān)聯(lián):基于VAR-MGARCH模型的研究[J];財(cái)貿(mào)經(jīng)濟(jì);2010年02期

5 楊清玲;;股價(jià)與匯率間聯(lián)動(dòng)關(guān)系的實(shí)證分析[J];發(fā)展研究;2007年08期

6 張祖國(guó);羅文波;;次貸危機(jī)期間股票市場(chǎng)收益與人民幣匯率關(guān)系研究[J];廣東社會(huì)科學(xué);2009年04期

7 葉文娛;;我國(guó)匯率與股價(jià)關(guān)聯(lián)性的變化及影響因素——基于MS-VAR模型的分析[J];貴州財(cái)經(jīng)學(xué)院學(xué)報(bào);2010年05期

8 程昆;周銳聰;;中國(guó)股價(jià)與匯率動(dòng)態(tài)關(guān)系的實(shí)證分析[J];華南農(nóng)業(yè)大學(xué)學(xué)報(bào)(社會(huì)科學(xué)版);2009年01期

9 趙蓓文;外匯市場(chǎng)與證券市場(chǎng)價(jià)格波動(dòng)的相互影響及其在中國(guó)的不完全傳遞[J];世界經(jīng)濟(jì)研究;1998年01期

10 張兵;封思賢;李心丹;汪慧建;;匯率與股價(jià)變動(dòng)關(guān)系:基于匯改后數(shù)據(jù)的實(shí)證研究[J];經(jīng)濟(jì)研究;2008年09期

，

本文編號(hào)：1855249