人民币汇率及美元指数与A股价格的交互影响研究

发布时间：2018-01-09 12:29

本文关键词：人民币汇率及美元指数与A股价格的交互影响研究　出处：《哈尔滨工业大学》2013年硕士论文　论文类型：学位论文

【摘要】：随着全球金融市场的不断发展，外汇市场与股票市场之间的联系越来越紧密。汇率和股价分别代表着外汇市场和股票市场的价格，当资本自由流动、信息有效传播时，外汇市场和股票市场之间会表现出一定的协同变化的趋势，两个市场的价格会受彼此的价格变动的而发生变动。在中国的股票市场不断发展并逐渐走向成熟的时期，理论分析汇率的形成机制会对汇率的形成有更深刻的理解，能够更好的分析汇率的变动对其他经济变量的影响。研究人民币汇率的变动和中国A股股票市场之间的影响机制，对中国股票市场的成熟和稳定有着极其重要的意义。本文评述了国内外关于汇率和股票市场之间关系的研究成果。分析了汇率理论及汇率变动对股票市场的影响途径，，主要包括进出口贸易、市场利率、投资者心理预期及大宗商品价格，进而构建出本文的理论框架。并通过分析前人的研究过程，在前人研究模型的基础上加入了美元指数这一变量，以人民币汇率、美元指数和A股价格为研究对象建立了本文的实证研究模型。通过对2005年7月21日至2011年12月30日的日交易数据，进行ADF平稳性检验、Granger因果关系检验等分析，并利用脉冲响应分析和方差分解对建立的向量自回归（VAR）模型进行分析。研究结果表明，人民币汇率与A股价格之间、美元指数与人民币汇率之间、美元指数与A股价格之间及均存在单向的因果关系；人民币汇率及美元指数的上升均对A股价格有一定的带动作用及自我增强作用；并且随着预期的增加，它们对A股股票价格上涨的解释力逐渐增强，A股价格对人民币汇率上涨的解释力也逐渐增强。这对分析人民币汇率及美元指数的变动过程中A股价格会发生怎样的变化具有重要的意义。
[Abstract]:With the continuous development of the global financial market, relation between foreign exchange market and the stock market is more and more closely. Exchange rate and stock price, representing the foreign exchange market and the stock market price, when the free flow of capital, effective dissemination of information, between the foreign exchange market and the stock market will show a certain synergy change trend, the two market the price will be affected by each other's price changes and changes in the stock market. China development and maturity period, theoretical analysis the formation mechanism will have a more profound understanding of the exchange rate of the RMB exchange rate, can better analysis of exchange rate changes on other economic variables. The influence mechanism between the RMB exchange rate change and Chinese A shares of the stock market, are of great significance to China stock market is mature and stable.
This paper reviews the domestic and foreign research results about the relationship between exchange rate and stock market. The impact of exchange rate theory and analysis way of exchange rate changes on the stock market, including the import and export trade, the market interest rates, investors psychological expectations and commodity prices, and constructs the theoretical framework of this paper. And through the analysis of previous research, in based on the previous research model joined the dollar index of this variable, the RMB exchange rate, the dollar index and the price of A shares to establish an empirical research model as the research object.
Through the trading day for the July 21, 2005 to December 30, 2011 data, the ADF stationary test, Granger causality test, and the use of impulse response analysis and variance decomposition of vector autoregressive (VAR) model is analyzed. The results show that between RMB exchange rate and the price of A shares, between the dollar index and RMB exchange rate. Between the dollar index and the price of A shares and there exists one-way causal relationship; the RMB exchange rate rise and the dollar index have a certain role in promoting and self enhancement effect on the price of A shares; and with the increase of pre period, their A shares on the stock prices of the explanatory power gradually increased, the price of A shares gradually the RMB exchange rate rise explanatory power. It has an important significance to what changes will occur to the process of changing the analysis of RMB exchange rate and the dollar index in the price of A shares.

【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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