基于三因子加美元收益率模型下汇率对股价的影响分析

发布时间：2018-05-06 11:15

本文选题：三因子 + A股　；参考：《上海外国语大学》2017年硕士论文

【摘要】：在纷繁复杂的现有理论和实证研究的基础之上,本文先从历史主线来探讨汇率与股市的内在逻辑,再实证研究汇率与股价之间的相互关系及变化趋势。首先,在汇率与股价的内在逻辑的分析中,本文通过对汇率历史事件、股价历史事件的回顾与汇率价格变化趋势和股价价格变化趋势分析,探讨其内在历史关系。在汇率变动对股价的影响路径分析中采用2001至2016年的样本区间,观察美元指数走势与A股股价之间的关系。从中可以清楚地看出,在2001至2014年和2014至2016年美元指数与A股股价之间存在不同的相关性。并且,本文提出纯资本角度来解释美元指数与A股股价之间的关系。除此之外,进一步从六个观察角度来分析阐述汇率与股票价格之间的关系。然后,本文用实证分析来进一步支撑前面的内在逻辑的分析。在法玛和弗伦奇提出的三因子的模型之上再提出增加一个美元收益率因子组成四因子模型并针对中国市场的特点做出更实用分析方法。具体来说,本文选用市场收益率、市值收益率、账面市值比收益率和美元收益率作为四种因子,用来解释股票收益的变动。模型将汇率与股价的内在逻辑的分析中得出的2014年是转折点作为模型的分段时间点。接着通过实证分析得出美元收益率与A股之间关系的结论:汇率对我国股市存在影响,并且美元收益率因子与传统三因子之间不存在简单的线性关系(共线性),但是可能存在交互关系;此外,美元收益率因子在分段时间和长期时间的显著性是不同的。最后,传统经济理论观点和以往的大量学者研究的结论是汇率与股价要么长期的相关性不变,要么不具有相关性;而本文的创新之处在于打破基于传统分析得出的结论,并提出本文的结论相关性随两者之间的内在关系的改变而改变,深度分析前后相关性发生改变的内在原因。
[Abstract]:On the basis of the complicated theory and empirical research, this paper first discusses the internal logic of exchange rate and stock market from the historical main line, and then empirically studies the relationship between exchange rate and stock price and its changing trend. First of all, in the analysis of the internal logic of exchange rate and stock price, this paper analyzes the historical events of exchange rate, the historical events of stock price, the trend of exchange rate price change and the trend of stock price change. A sample range of 2001 to 2016 was used in the path analysis of the impact of exchange rate movements on stock prices to observe the relationship between the trend of the dollar index and the share prices of A shares. It is clear that there is a different correlation between the dollar index and A-share prices in 2001-2014 and 2014-2016. Furthermore, this paper proposes a pure capital perspective to explain the relationship between US dollar index and A share price. In addition, the relationship between exchange rate and stock price is analyzed from six perspectives. Then, this paper uses empirical analysis to further support the previous internal logic analysis. On the basis of the three-factor model proposed by Fama and French, a four-factor model with a dollar yield factor is proposed and a more practical analysis method is made according to the characteristics of the Chinese market. Specifically, this paper chooses the market return rate, market value return rate, book market value ratio return rate and dollar yield rate as four factors to explain the change of stock returns. The model uses 2014 as the turning point in the analysis of the intrinsic logic of the exchange rate and stock price as the segmented time point of the model. Then through the empirical analysis, we draw the conclusion that the exchange rate has an impact on China's stock market. Moreover, there is no simple linear relationship between the dollar return factor and the traditional three factors (collinear, but there may be interaction; in addition, the dollar return factor is different in the segmented time and the long-term time. Finally, the traditional economic theory and the conclusion of a large number of scholars in the past are that the relationship between exchange rate and stock price is either unchanged for a long time or not. The innovation of this paper is to break the conclusion based on traditional analysis. The conclusion of this paper is that the correlation changes with the change of the internal relationship between the two, and the internal reason of the change of the correlation before and after in-depth analysis is put forward.
【学位授予单位】：上海外国语大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51;F837.12

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