汇率与股票价格相关性的实证研究  

The Empirical Research on the Relevance of Exchange Rate and Stock Prices

作　　者：徐阳[1] 张沁[1] 

机构地区：[1]吉林大学商学院,吉林长春130012

出　　处：《吉林省经济管理干部学院学报》2009年第4期55-59,共5页Journal of Jilin Province Economic Management Cadre College

摘　　要：外汇市场和股票市场作为金融市场中两个重要组成部分,他们之间的关系一直以来都引起人们的思考。随着股权分置改革的基本完成以及汇改的进行,两个市场之间的相关关系逐渐显现出来,Johansen协整检验长期相关性分析结果表明,人民币对美元汇率、人民币对港币汇率与上证综合指数之间存在长期协整关系。The foreign exchange market and the stock market are two important components of the financial market. The relationship between them has always been a thinking point. With the completion of the split share structure reform and the carrying out of exchange reform, the relation between the two markets gradually appears, Johansen＇s analysis results of the long-term correlation test show that the RMB exchange rate against the U.S. dollar, the RMB exchange rate against HK and Shanghai composite index have long-term correlation relationship.

关 键 词：人民币汇率 股票价格 相关性 协整 

分 类 号：F830.73[经济管理—金融学]