人民币汇率与股票价格关系的实证研究  

Empirical Study on Relations between RMB Exchange Rate and Stock Prices

作　　者：刘维奇[1] 董晨昱[2] 

机构地区：[1]山西大学管理学院,山西太原030006 [2]山西大学数学科学学院,山西太原030006

出　　处：《经济管理》2008年第16期62-67,共6页Business and Management Journal ( BMJ )

基　　金：教育部人文社会科学研究项目"储蓄分流与金融效率"(07JA630027)。

摘　　要：本文以我国2005年7月21日汇率形成机制改革为界,分别分析了我国2001年1月2日～2005年7月20日(Ⅰ段)和2005年7月21日～2007年12月28日(Ⅱ段)人民币兑美元汇率中间价与上证综指收盘价之间的关系。结果表明:实行有管理的浮动汇率制后,人民币兑美元汇率对上证综指有着显著的短期动态影响,且两变量序列之间存在协整关系;人民币兑美元汇率与上证综指间存在显著的双向波动溢出,且波动溢出均存在不对称性。实行有管理的浮动汇率制后,两市场间的波动溢出效应更为显著。The paper analyzes the relationship between the central parity of the RMB exchange rate against the US dollar and the closing prices in Shanghai Stock Exchange composite index during the period of January 2nd, 2001 to December 28th, 2007. With the reform of RMB exchange rate regime as the line of demarcation, the period is divided into two phases, i.e. from January 2nd, 2001 to July 21 st, 2005 is the first phase and from July 21 st, 2005 to December 28th, 2007 the second phase. The conclusions are as follows： first, after the implementation of the managed floating RMB exchange rate regime, the RMB exchange rate against the US dollar exerts a noticeable influence on the Shanghai Stock Exchange composite index, there exists a kind of co-integration relationship between them. Second, they have a significant two-way volatility spillover effect; they are asymmetric.

关 键 词：人民币兑美元汇率中间价 波动溢出 协整检验 多元EGAROH 

分 类 号：F830[经济管理—金融学]