股票回报率与汇率的关系——基于中国的实证(英文)  

On the Relationship between Stock Returns and Exchange Rate in Chinese Stock Markets

作　　者：李亚琼[1] 黄立宏[1] 

机构地区：[1]湖南大学数学与计量经济学院,湖南长沙410082

出　　处：《经济数学》2010年第3期1-8,共8页Journal of Quantitative Economics

基　　金：湖南省科技厅计划项目(2009ZK3110);湖南省自然科学基金资助项目(10JJ3071)

摘　　要：考察了上海股票市场A股的回报率与人民币汇率的关系.首先,经过单位根检验发现:股票回报率与人民币名义汇率是一阶单整。接着,利用Engle-Granger协整检验得到:在5%的显著性水平下,股票回报率与人民汇率没有长期均衡关系,但不能够拒绝短期单方向的Granger因果关系,即人民币名义汇率是股票回报率的Granger原因.This paper investigated the relationship between RMB exchange rate and A-share stock returns in China, in particular in Shanghai stock market. We find that both stock returns and RMB nominal exchange rate are integrated of order 1. The Engle-Granger cointegratlon test was then performed, suggesting that there is not a long-run equilibrium relationship between stock returns and RMB exchange rates at 5 % significance level. However, strong evidence suggests that there is a short-run unidireetional eausality relationship from the nominal exehange rate to the stock returns.

关 键 词：协整 GRANGER因果关系 人民币汇率 股票回报率 单位根检验 

分 类 号：F830[经济管理—金融学]