The Impact of RMB Appreciation on China’s Stock Market: an I
发布时间：2021-10-29 07:08
本文的主要目的是从行业层面研究外汇波动对股票收益的影响。本文第一部分叙述了人民币面临升值的现状及其产生原因,并逐个分析人民币升值对十个不同行业上市股票收益的影响。本文在第二部分量化分析在中国和美国市场,不同行业股票回报率对外汇走势的敏感度。实证分析主要应用双因子普通最小二乘法（OLS）回归模型。为了使结果能够剔除宏观市场的影响,回归模型中包括控制因子,由相关股票市场收益率来表示。本文在最后部分运用了进一步的实证检验来对比分析,其中一月期人民币无本金交割远期价格和根据金融市场分段研究被用到实证检验中。实证结果表明,美国和中国股票市场都受到外汇变化的影响,然而不同行业的敏感度和显著性表现不同。同时由于中国相对受限的货币政策,实证检验显示人民币无本金交割远期价格比人民币即期汇率更能反映汇率波动情况。实证分析同样说明股票收益和外汇波动从长期看存在相关联系,但短期上几乎不存在显著影响。
【文章来源】：上海交通大学上海市 211工程院校 985工程院校 教育部直属院校
【文章页数】：67 页
【学位级别】：硕士
【文章目录】：
摘要
Abstract
Introduction
1. RMB present status and the reason for appreciation
1.1 The present status of the RMB exchange rate
1.2 The reason of RMB appreciation
1.2.1 The external pressure analysis
1.2.2 The internal pressure analysis
1.3 RMB appreciation’s advantage and disadvantage for Chinese economy
1.3.1 RMB appreciation’s advantage
1.3.2 RMB appreciation’s disadvantage
2. Potential impact of the RMB appreciation
2.1 Potential impact of RMB appreciation at market level
2.2 Potential impact of RMB appreciation at industry level
2.2.1 Energy
2.2.2 Materials
2.2.3 Industrials
2.2.4 Consumer Discretionary
2.2.5 Consumer Staples
2.2.6 Health Care
2.2.7 Financials
2.2.8 Information Technology
2.2.9 Telecommunication Services
2.2.10 Utilities
3. Sensitivity analysis of the effect of foreign exchange movement on stock returns in U.S.a nd in China market at industry level
3.1 Sensitivity analysis of the effect of foreign exchange movement on stock returns in US
3.1.1 Data Description
3.1.2 Approach
3.1.3 Empirical Results
3.2 Sensitivity analysis of currency risk for different industries in China market
3.2.1 Data Description
3.2.2 Approach
3.2.3 Empirical Results
4 Comparison of the different empirical results in the U.S. market and in the Chinese market
4.1 The efficiency and the characteristics of the two markets
4.2 Chinese monetary policy effect
4.2.1 Test Approach
4.2.2 Empirical result
4.3 Time span effect and Sub period test
4.3.1 Sub period tests in different market conditions
4.3.2 Sub period tests during the period that RMB fluctuated dramatically
4.4 Result discussion
Conclusion
Bibliography
Acknowledgments
本文编号：3464203
【文章来源】：上海交通大学上海市 211工程院校 985工程院校 教育部直属院校
【文章页数】：67 页
【学位级别】：硕士
【文章目录】：
摘要
Abstract
Introduction
1. RMB present status and the reason for appreciation
1.1 The present status of the RMB exchange rate
1.2 The reason of RMB appreciation
1.2.1 The external pressure analysis
1.2.2 The internal pressure analysis
1.3 RMB appreciation’s advantage and disadvantage for Chinese economy
1.3.1 RMB appreciation’s advantage
1.3.2 RMB appreciation’s disadvantage
2. Potential impact of the RMB appreciation
2.1 Potential impact of RMB appreciation at market level
2.2 Potential impact of RMB appreciation at industry level
2.2.1 Energy
2.2.2 Materials
2.2.3 Industrials
2.2.4 Consumer Discretionary
2.2.5 Consumer Staples
2.2.6 Health Care
2.2.7 Financials
2.2.8 Information Technology
2.2.9 Telecommunication Services
2.2.10 Utilities
3. Sensitivity analysis of the effect of foreign exchange movement on stock returns in U.S.a nd in China market at industry level
3.1 Sensitivity analysis of the effect of foreign exchange movement on stock returns in US
3.1.1 Data Description
3.1.2 Approach
3.1.3 Empirical Results
3.2 Sensitivity analysis of currency risk for different industries in China market
3.2.1 Data Description
3.2.2 Approach
3.2.3 Empirical Results
4 Comparison of the different empirical results in the U.S. market and in the Chinese market
4.1 The efficiency and the characteristics of the two markets
4.2 Chinese monetary policy effect
4.2.1 Test Approach
4.2.2 Empirical result
4.3 Time span effect and Sub period test
4.3.1 Sub period tests in different market conditions
4.3.2 Sub period tests during the period that RMB fluctuated dramatically
4.4 Result discussion
Conclusion
Bibliography
Acknowledgments
本文编号：3464203
本文链接：https://www.wllwen.com/jingjilunwen/jinrongzhengquanlunwen/3464203.html
