汇率波动对股票市场的影响研究

发布时间：2018-01-11 22:00

本文关键词：汇率波动对股票市场的影响研究　出处：《天津财经大学》2013年硕士论文　论文类型：学位论文

【摘要】：汇率又被人们称作为汇价,它是指本国国家货币和外国货币进行兑换的相对价格,一旦汇率改变,那么购买者对产品的购买能力也会发生改变。然而股票的价格则是国家经济最终状况的展示,如果汇率发生了变化,那么一定会作用在实体经济的本身。我国在80年代初期,开始逐步深化改革开放,并且当时全球一体化的程度开始加深,汇率对我国的股市影响也开始变大。美国发生次贷危机,导致了全世界经济一片低谷,人民币快速升值脚步已逐步放缓,在2007-2008年我国的股票市场也开始由牛市慢慢走向熊市,股票价格持续走跌。我国资本账户还没有彻底开放,所以国际上的热钱不能顺畅的进入我国的证券市场,所以对我国的实体经济并没有特别明显的冲击；可是由于我们国家的金融监管力度不完善,导致了在国际上仍然有很多游资(hot money)通过不正常的渠道进入我们国家的股票市场,并且把金融危机的危害扩大,使人民币加速升值,从而对股市发展产生不利影响,正是由于各种复杂原因,所以我们对汇率同股票二者之间的相关要素进行研讨是有很重要的现实意义的。政府可以根据汇率和股市的相互关联性设计出相对的措施,从宏观上对经济进行调控,使股市良好的发展,至少达到及时制止股票和外汇市场中那些散布的流言的目的,在根本上使金融危机发生的概率降低,让国民经济可以得到良好有序的发展。这篇文章是在国内外学者教授的研讨基础上,对他们的研讨进行分析、结合我国汇率以及股票市场实际进行重新建模、分析,我们的数据来自于汇改后,利用人民币对美元的汇率变化,和我国A股指数的采取分析研究,并且在实证分析建模阶段,采取GARCH计量模型,把手中掌握的数据进行分析,找出汇率变化和经济变化二者之间的关系,研究出股指同汇率二者的联动关系,采取全面、完善的研析,探讨人民币的升值而产生的汇率改变对我国股票市场产生的波动,并以此为基础,对我国可采用的措施方法进行总结,并且提出了相对应的主张。这篇文章主要分为五部分：导言是第一部分,大体上介绍了本次研究的背景、目的、意义和最后的研究动态；汇率的相关理论基础是第二部分；第三部分,主要是使用GARCH计量模型进行实证分析,而且分析了产生的缘由；在第四部分,提出了相应的主张和对策；最后进行总结,并对将来发展趋势进行预测展望。
[Abstract]:The exchange rate is also known as the exchange rate, it is the relative price refers to the national currency and foreign currency exchange, once the exchange rate changes, so buyers to buy the product capacity will change. However, the stock price is the national economy final status display, if the exchange rate changes, then you must be in the real economy itself. In China at the beginning of 80s, began to gradually deepen reform and opening up, and the degree of global integration was started to deepen, the stock market impact of exchange rate on China also began to change. The U.S. subprime mortgage crisis, the world economy has led to a downturn, the rapid appreciation of the renminbi has gradually slowed pace, in 2007-2008 I China's stock market also started by the bull market slowly toward the bear market, stock prices continued to decline. China's capital account is not completely open, so the international hot money is not smooth In China's securities market, so the real economy of our country and no significant impact; but because of our country's financial supervision is not perfect, resulting in the world still have a lot of money (hot money) into the stock markets of our country through normal channels, and the harm of financial crisis to expand faster renminbi appreciation, which has a negative effect on the development of the stock market, it is due to a variety of complex reasons, so we are the related factors between the exchange rate with the stock of the two research has very important practical significance. The government can according to the exchange rate and stock market correlation design relative measures to control from the macro economy, the stock market good development, at least in time to stop the stock and foreign exchange markets in those rumors spread to the probability of the fundamental that the financial crisis occurred The reduction will enable the national economy to get a good and orderly development.
This article is based on research professor of scholars at home and abroad, for their research analysis, combined with China's actual exchange rate and the stock market re modeling, analysis, data from the US after the exchange rate reform, the RMB exchange rate changes to the dollar, and take analysis of China's A share index, and in the empirical analysis of the modeling stage, adopt GARCH econometric model, put in the hands of the data were analyzed to identify the relationship between exchange rate changes and changes in the economy of the two, research the relation of linkage, stock index and exchange rate of the two to take a comprehensive, complete research and analysis, to explore the appreciation of the RMB exchange rate changes have caused China's stock the volatility of the market, and on this basis, the measures can be adopted in China are summarized, and put forward the corresponding opinions. This article is divided into five parts: the first part is the introduction, on the whole Introduces the research background, purpose, significance and the study dynamic; relevant theoretical basis of the exchange rate is second; the third part is mainly an empirical analysis using the GARCH econometric model, and analyzes the reasons; in the fourth part, put forward ideas and corresponding countermeasures; finally summed up, and the the future development trend forecast.

【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

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