人民币汇率与股市行业板块指数间联动效应研究

发布时间：2018-04-12 23:01

本文选题：人民币汇率 + 行业板块指数　；参考：《湖南大学》2014年硕士论文

【摘要】：随着人民币汇率体制改革的推进，包括人民币合格境外机构投资者(RQFII)机制的出台、强制结售汇制度的废止等，人民币升值预期不断强化，境内机构及个人持有和使用外汇自主权逐渐增强，人民币汇率对国民经济和行业发展的影响愈来愈大。汇率与股价之间的溢出效应和联动机制一直是国内外学术界和金融界的关注热点，不同行业的实体经济发展状况和行业股市价格波动是否会影响汇率的预期走势是一个较为新颖的研究方向。了解和把握人民币汇率与股市行业板块指数间联动效应，有助于处于不同行业背景下的上市公司及企业，知悉汇率变动对其股价表现、市场价值等方面的影响，对于提高企业的外汇风险管理能力、完善我国金融市场改革具有参考意义和实践价值。本文采用小波分析和多元GARCH-BEKK模型相结合的研究方法，，测度人民币汇率与股市行业板块指数之间的波动相关性和联动效应，不仅考虑到人民币汇率与股市行业板块指数间联动效应的双向传递效应，并且运用小波多分辨分解的特性及方法来刻画不同的交易周期下汇率和各个行业板块指数序列间的联动效应，具体测度了两者之间联动性的强度、方向和周期性。实证结果表明，人民币汇率与所有样本行业板块指数间都具有不同程度和周期性质交互影响的联动效应；整体来说汇率对股市行业板块指数的溢出效应强度大于行业板块指数对汇率自身，这种传导效应在较短交易周期下表现更为显著；基于实体经济性质的不同，汇率变动对不同行业及其企业的影响并不一致；随着近年来股市行业板块市值的扩大和价格表征作用的加强，大多数行业板块指数逐渐对汇率的价格走势和波动产生显著的均值溢出效应和波动溢出效应。
[Abstract]:With the promotion of the reform of the RMB exchange rate system, including the introduction of the RQFII-based mechanism for qualified foreign institutional investors of the renminbi, and the abolition of the mandatory foreign exchange settlement and sale system, the expectation of RMB appreciation has been continuously strengthened.The autonomy of holding and using foreign exchange by domestic institutions and individuals is gradually strengthened, and the RMB exchange rate has more and more influence on the development of national economy and industry.The spillover effect and linkage mechanism between exchange rate and stock price have always been the focus of attention in academic and financial circles both at home and abroad.The development of real economy in different industries and whether the fluctuation of stock market price will affect the expected trend of exchange rate is a new research direction.Understanding and grasping the linkage effect between the RMB exchange rate and the stock market sector sector index will help listed companies and enterprises in different industry backgrounds to know the impact of exchange rate changes on their stock price performance, market value, etc.It has reference significance and practical value for improving the foreign exchange risk management ability of enterprises and perfecting the reform of financial market in our country.In this paper, wavelet analysis and multivariate GARCH-BEKK model are used to measure the volatility correlation and linkage effect between RMB exchange rate and stock market sector index.Considering not only the two-way transfer effect of the linkage effect between the RMB exchange rate and the stock market sector sector index,The characteristics and methods of wavelet Multiresolution decomposition are used to describe the linkage effect between the exchange rate and the index series of various sectors in different trading cycles. The intensity, direction and periodicity of the interaction between the two are measured.The empirical results show that there is a linkage effect between the RMB exchange rate and all the industry sector indices.On the whole, the spillover effect of the exchange rate on the industry sector index of stock market is stronger than that of the industry plate index on the exchange rate itself, and the conduction effect is more significant in the short trading cycle.The impact of exchange rate movements on different industries and their enterprises has not been consistent; with the expansion of market value, the stock market sector, and the strengthening of the role of price representation in recent years,Most industry sector indices gradually produce significant mean spillover effect and volatility spillover effect on the price trend and volatility of exchange rate.
【学位授予单位】：湖南大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.6;F832.51

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