人民币汇率波动与A股及H股上市公司股票关系研究

发布时间：2018-03-16 17:20

本文选题：人民币汇率　切入点：股票价格　出处：《湖南大学》2012年硕士论文　论文类型：学位论文

【摘要】：2005年7月21日人民币汇率制度改革之后，人民币迈上快速升值轨道。与此同时，在各种力量的综合作用之下，中国股票市场也先后经历了一番波动。伴随着中国金融市场的不断开放和改革，中国汇市和股市之间的联系越加紧密，二者间的关系已受到学术界和实业界人士的广泛关注，迄今已产生了较多的理论和实证研究成果。然而，由于各种条件的限制，中国现有的的相关研究并不充分，因此对人民币汇率和中国股票市场之间关系进行更为深入的探讨具有重要的理论和实践意义。在此情况下，首先从理论角度出发，全面分析汇率和股票市场之间的影响机制，并结合中国实际情况，对人民币汇率和中国股票市场间的关系以及人民币汇率波动对中国股票市场上市公司的影响进行客观分析。然后选取2005年7月22日至2011年12月31日之间的人民币兑美元名义汇率、A股市场指数、H股市场指数的日数据对人民币汇率波动和中国股票市场价格之间的关系进行实证研究。最后以2005年7月至2011年12月为研究期，选取月度数据，采用Jorion模型和面板数据模型，对人民币汇率波动对A股和H股股票收益率的影响进行研究，并进一步分析了人民币汇率波动对两个市场上各行业以及A+H股交叉上市公司股票收益率的影响。研究结果显示，A股、H股指数均与人民币汇率呈正向关系，即与人民币升值相伴的是A股和H股指数的上涨。且无论从市场整体角度还是分行业角度来看，两个市场上研究对象的股票收益率均受到来自人民币升值的负面影响，即人民币升值将导致A股和H股股票收益率下降。此外，对于A+H股上市公司，，总体看来A股股票收益率受到人民币汇率变动的影响更大。总体来看，A股股票收益率受到人民币升值的冲击大于H股，但各行业的影响系数存在一定差别。最后，根据研究结论，有针对性地提出政策性建议。
[Abstract]:In July 21st 2005, after the reform of the RMB exchange rate regime, the RMB entered the track of rapid appreciation. At the same time, under the combined action of various forces, China's stock market has also experienced some fluctuations. With the continuous opening and reform of China's financial market, the links between China's foreign exchange market and the stock market have become more and more close. The relationship between the two has attracted extensive attention from academics and businessmen. Up to now, there have been many theoretical and empirical research results. However, due to various conditions, the existing research in China is not sufficient. Therefore, it is of great theoretical and practical significance to probe into the relationship between RMB exchange rate and Chinese stock market. In this case, first of all, from a theoretical point of view, an overall analysis of the impact mechanism between the exchange rate and the stock market, and combined with the actual situation in China, This paper makes an objective analysis of the relationship between RMB exchange rate and Chinese stock market and the influence of RMB exchange rate fluctuation on listed companies in Chinese stock market. Then it selects RMB from July 22nd 2005 to December 31st 2011. The daily data of nominal exchange rate against US dollar, A share market index and H share market index are used to study the relationship between RMB exchange rate fluctuation and Chinese stock market price. Selecting monthly data, using Jorion model and panel data model to study the impact of RMB exchange rate fluctuation on the stock returns of A-shares and H-shares. The paper also analyzes the influence of RMB exchange rate fluctuation on the stock yield of each industry and A / H cross-listed company in the two markets. The results show that both A-share and H-share indices are positively related to the RMB exchange rate, that is, the appreciation of RMB is accompanied by the rise of A-share and H-share indices. The stock returns of both markets are negatively affected by the appreciation of the renminbi, that is, the appreciation of the renminbi will lead to a decrease in the returns of A-shares and H-shares. In addition, for A-H listed companies, On the whole, the rate of return of A shares is more affected by the change of RMB exchange rate. In general, the rate of return of A shares is affected more than that of H shares by RMB appreciation, but the coefficient of influence varies from industry to industry. Finally, According to the conclusions of the study, the policy recommendations are put forward.
【学位授予单位】：湖南大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F224;F832.52;F832.51

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