论人民币汇率与中国股票价格的关联性研究

发布时间：2018-08-08 15:24

【摘要】：世界各国的金融市场之间在经济全球化的不断发展深化的影响之下,联系程度不断加深,导致各个不同的市场的联系深化也在不断加大。受此影响,各个不同的金融市场的价格变动也受到来自不同因素的影响,除了自身的影响变动因素之外,还包括来自其他金融市场价格波动的影响。作为金融市场之中非常重要的两个组成部分,外汇市场和股票市场一直都是众多学者的研究对象。而在我国实行股权分置改革和人民币汇改之后,这两者之间的关联性影响分析也逐渐受到了更多的关注和研究。文章主要分为五个部分。第一部分分析了我国目前的经济金融背景,通过总结国内外的文献综述,引入本文研究的目的和意义。第二部分总结了汇率波动与股票价格之间影响的理论基础,主要包括两种比较成熟的理论：流量导向模型和股票导向模型。之后分别从利率、货币供应量和心理预期因素等不同角度分析了汇率和股票价格之间的传导机制。第三部分为我国目前的经济形势和日本上个世纪80年代末90年初的泡沫经济时期的对比分析,找到两国金融方面存在的异同点。第四部分为实证分析部分,通过金融时间序列模型(GARCH和TARCH模型),分别分析了中国和日本两国外汇和股票市场,同时又以金融危机为分界线,划分不同时期,将2005年汇改至今分为金融危机前、金融危机中和金融危机后三个时段,具体分析问题,分别引用模型进行实证研究。第五部分根据前文得出的实证研究分析结果,即中国的股票市场和外汇市场指数收益率仅在后金融危机时代存在双向的波动溢出效应,提出相关的政策建议,以推动未来我国经济可持续发展。
[Abstract]:Under the influence of the continuous development and deepening of the economic globalization, the financial markets in the world are becoming more and more connected, which leads to the deepening of the relationship between different markets. As a result, the price changes in different financial markets are also affected by different factors, including other financial market price fluctuations, in addition to their own factors. As a very important part of financial market, foreign exchange market and stock market have been studied by many scholars. After the reform of split share structure and RMB exchange rate, the analysis of the relationship between the two has gradually been paid more attention and research. The article is divided into five parts. The first part analyzes the current economic and financial background of our country, and introduces the purpose and significance of this study by summarizing the literature review at home and abroad. The second part summarizes the theoretical basis of the influence between exchange rate fluctuation and stock price, including two mature theories: flow oriented model and stock oriented model. Then the transmission mechanism between exchange rate and stock price is analyzed from different angles of interest rate, money supply and psychological expectation. The third part is a comparative analysis of the current economic situation in China and the bubble economy period in Japan in the late 1980s and early 1990s, and finds out the similarities and differences between the two countries in financial aspects. The fourth part is the empirical analysis, through the financial time series model (GARCH and TARCH model), analyzes the foreign exchange and stock markets of China and Japan respectively, at the same time taking the financial crisis as the dividing line, divides the different periods. The exchange rate reform in 2005 is divided into three periods: before the financial crisis, during the financial crisis and after the financial crisis. The fifth part is based on the empirical research results, that is, the return rate of stock market and foreign exchange market in China only has two-way volatility spillover effect in the post-financial crisis era, and puts forward relevant policy recommendations. In order to promote the future sustainable development of our economy.
【学位授予单位】：天津财经大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.6;F832.51;F224

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