人民币实际汇率波动对股票收益的影响研究

发布时间：2018-03-28 20:19

本文选题：人民币实际汇率　切入点：汇率波动　出处：《哈尔滨工业大学》2013年硕士论文

【摘要】：2005年我国汇率改革以来，人民币汇率越来越受到市场化的影响，其波动幅度逐渐增大。在这种人民币持续升值的特殊时期，股票市场作为中国金融市场的核心会受到何种影响，股票价格是否会因此发生变化，，股票收益率进而又会怎样被汇率的波动所左右，这些都是我们不容忽视的问题。为了研究汇率波动对中国股票市场的影响，本文着重讨论人民币实际汇率如何影响中国上市公司的股票收益率，并深入挖掘汇率因素对中国上市公司股票风险溢价的风险成因的解释。首先，在理论方面，本文总结了股票收益影响因素的传统理论，着重论述Fama-French的三因素模型的实证意义，并将汇率波动因子植入三因素模型之中，建立含有汇率波动因子的股票收益影响因素模型，为实证研究提供了理论基础。在实证方面，本文采用2008年至2012年我国上市公司A股数据依据新建立的回归模型对数据进行筛选、分组、建立回归因子等处理，通过两阶段回归验证各个因子对股票收益风险溢价的影响。最后根据实证的结果，对汇率影响股市的过程进行深入探究。本文通过对中国股票市场的整体状况和分行业的研究，得出了包含汇率波动因素的新的股票收益影响因素模型，更进一步发现了影响因素背后所代表的风险性。本文引入的汇率波动因子对股票收益的风险溢价具有良好的解释效果，这在理论上扩大了股票收益的决定因素的范围，同时对研究股票市场和外汇市场之间的关系给出了一些启示。
[Abstract]:Since China's exchange rate reform in 2005, the RMB exchange rate has been more and more influenced by the marketization, and its fluctuation has gradually increased. In this special period of continuous appreciation of the RMB, how will the stock market, as the core of China's financial market, be affected? Whether the stock price will change as a result, and how the stock yield will be affected by the fluctuation of the exchange rate, these are the questions we can't ignore. In order to study the impact of the exchange rate fluctuation on the Chinese stock market, This paper mainly discusses how the real exchange rate of RMB affects the stock return rate of Chinese listed companies, and deeply excavates the explanation of the exchange rate factors to the risk causes of the risk premium of Chinese listed companies. First of all, in theory, this paper summarizes the traditional theory of influencing factors of stock returns, focuses on the empirical significance of the three-factor model of Fama-French, and implants the exchange rate volatility factor into the three-factor model. A model of stock return influencing factors with exchange rate fluctuation factor is established, which provides a theoretical basis for empirical research. In this paper, the A share data of listed companies in China from 2008 to 2012 are selected, grouped and processed according to the newly established regression model. Through the two-stage regression to verify the impact of each factor on the risk premium of stock returns. Finally, according to the empirical results, the exchange rate impact on the stock market process is deeply explored. Based on the study of the overall situation of the Chinese stock market and the different industries, this paper draws a new model of the influencing factors of stock returns, which includes the factors of exchange rate fluctuation. The exchange rate volatility factor introduced in this paper has a good effect on explaining the risk premium of stock returns, which theoretically expands the range of determinants of stock returns. At the same time, it gives some enlightenment on the relationship between stock market and foreign exchange market.
【学位授予单位】：哈尔滨工业大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.6;F832.51

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