伯明翰大学投资学专业毕业论文：外汇市场与股票市场.docx

THE DYNAMIC RELATIONSHIP BETWEEN STOCK MARKET AND FOREIGN EXCHANGE MARKET: EVIDENCE ON UK, JAPAN, CHINA AND INDIAAuthor: Feng WeidaSupervisor: Dr. Abimbola AdedejiMSc. Investments (2010-2011)Student Registration Number: 1122995Dissertation Submitted in Partial Fulfilment of degree of MSC Investments (2010-2011)Word count: 11195ABSTRACTThe research on the relationship between stock market and foreign exchange market has never stopped, however, the verdicts was still not consistent in both theory and empirics due to the difference model and sample be employed. In this dissertation, we apply the analysis to the daily data of two developed countries (UK and Japan) and two developing countries (China and India) from 80s to 2011 to explore the dynamic linkage between stock market and foreign exchange market. Moreover, the effect to the relationship from country type and financial crisis happened in 2008 will be concerned. The empirical study results indicate that there is no clearly long-run equilibrium relationship between stock market and foreign exchange market in all the sample countries, except Japan. Furthermore, the financial crisis happened in 2008 only influenced the causality relationship between stock market and foreign exchange market in the developing countries. Finally, there is no evidence to prove that the developed countries and developing countries represent different characteristic on the long-run relationship between stock market and foreign exchange market.Key words: stock price, stock markets, foreign exchange rate, foreign exchange markets, financial crisis, cointegration, Granger causality.ACKNOWLEDGEMENTSThere are several people that I would like to thank because I would never have finished the dissertation without their support.I would like to express my gratefulness to my supervisor, Dr Abimbola Adedeji, for his earnest and patient guidance. I am heartily thankful to my friends Lucy, Fan and Han Peng, who worked together with me during the summe