人民币汇率波动与中国A股价格的关系.docVIP

人民币汇率波动与中国A股价格的关系 暨南大学硕士学位论文 人民币汇率波动与中国 A股价格的关系 摘 要 汇率是一国货币相对于另一国货币的价格,它的变动反映的是货币国际购买 力的相对变化,而股票市场价格是一国经济的发展状况的风向标,汇率和股价分 别代表了外汇市场和资本市场这两个金融子市场,同时又是反映一国经济实力的 重要指标,所以本文对汇率与股票价格的关系进行了系统的研究。 由于汇市和股市的关系比较复杂,所以本文主要考虑汇率对股票价格的单向 影响。本文结合中国的实际情况,首先从理论方面具体分析了汇率影响股价的各 种传导途径,并开拓性的运用了汇率决定的资产组合分析法,认为理论上在中国 市场,短期人民币汇率波动与股票价格反相关,而长期人民币汇率波动与股票价 格正相关。进一步从实证方面,采取人民币兑美元汇率中间价和上证指数收盘价 2005 年 7 月 21 日到 2009 年 12 月 31 日日数据,运用协整模型和向量误差修正 模型,证明了理论分析的结论。昀后,结合我国的实际情况,提出了一些政策建 议。 关键词: 汇率,股价,汇率决定的资产组合分析法,协整检验,误差修正模型I暨南大学硕士学位论文 人民币汇率波动与中国 A股价格的关系 Abstract Exchange rate is the relative price of one country’s currency to another country’s currency; it reflects the purchasing power of one country to another, while the price of the stock market is the signal of one country economy. Exchange rates and stock prices represent the foreign exchange market and capital market respectively, and both are very important indicator of a countrys economy strength. So this paper studies the relationship between exchange rate and stock price systematicallyBecause the relationship between exchange rate and stock price are very complex, so this paper is to consider how the exchange rate’s fluctuations affect on the stock price only. Firstly, this paper analysis various pathways of the impacts from exchange rate to stock price, and use portfolio approach creatively. The theoretical analysis show that exchange rate fluctuations and stock price are positive related in the shot term, while negative related in the long-term. Then in the empirical side, take the daily data of central price of RMB against the U.S. dollar and the Shanghai Composite Index form July 21st 2005 to December 31st 2009, the co-integration model and the vector error correction model, analysis the relationship from long-term and short-term respectively. The empirical results show the same as the theoretical analysis. Finally, analyzes the actual situation in China and put forward some policy recommendations