Study of the RMB Exchange Rate’s Impact on the Chinese Stock Market
Feng, Yaqi (2018)
Lataukset:
Feng, Yaqi
Vaasan ammattikorkeakoulu
2018
All rights reserved
Julkaisun pysyvä osoite on
https://urn.fi/URN:NBN:fi:amk-201805209155
https://urn.fi/URN:NBN:fi:amk-201805209155
Tiivistelmä
Since the 1970s, with the implementation of a floating exchange rate regime in the worldwide, the foreign exchange market and the stock market have drawn more and more attention from scholars at home and abroad. It becomes crucial to probe the influence of exchange rate variations on the stock market in depth with the liberalization of capital markets.
Therefore, this paper took the influence of exchange rate fluctuations on the stock market as the main body, through reviews of the mainly literature on this topic, the interaction existed between exchange rates and share prices, and an introduction of transmission mechanisms and other related theories, combined with empirical analysis methods, analysis and a summary of the effect of exchange rate variations on China's stock market are also presented.
Finally, based on the result of empirical analysis, the conclusions are put forward followed by several related recommendations. In the long run, these two variables of exchange rate and share price are not cointegrated. From the perspective of short-term relations, the Granger causality between two variables is one-way, which is from the exchange rate to the stock price.
Therefore, this paper took the influence of exchange rate fluctuations on the stock market as the main body, through reviews of the mainly literature on this topic, the interaction existed between exchange rates and share prices, and an introduction of transmission mechanisms and other related theories, combined with empirical analysis methods, analysis and a summary of the effect of exchange rate variations on China's stock market are also presented.
Finally, based on the result of empirical analysis, the conclusions are put forward followed by several related recommendations. In the long run, these two variables of exchange rate and share price are not cointegrated. From the perspective of short-term relations, the Granger causality between two variables is one-way, which is from the exchange rate to the stock price.