“汇改”后汇率变动对股票市场的影响——基于具体行业股票收益率的实证分析  

The Influence of Exchange Rate Changes on Stock Market after the Exchange Rate Reform: An Empirical Analysis Based on Stock Returns of Specific Industries

作　　者：许祥云[1] 吴松洋[2] 

机构地区：[1]南京财经大学国际经贸学院,江苏南京210046 [2]谢菲尔德大学管理学院

出　　处：《南京审计学院学报》2014年第3期49-57,共9页journal of nanjing audit university

基　　金：江苏省优势学科建设项目

摘　　要：使用GARCH和分位数回归模型,以11个具体行业上市公司为样本,对2005年7月"汇改"后人民币汇率变动与股票市场中行业股票收益率波动的相关性进行分析,研究结果表明:相对于即期汇率,以远期汇率为代表的汇率预期对行业股票收益率影响更为明显;预期汇率对行业股票收益率的影响具有明显的阶段性特征;在第一阶段,受远期汇率影响的行业主要对远期汇率的升值比较关注,而在第三阶段,不同行业对即期汇率和远期汇率的反应呈现多样化。Based on the （;ARCH and Quantile Regression models,this paper,withll specific industries as a sample,analyzes the eorrelativity between RMB exchange rate and the stock market volatility after the exchange rate reform that occurred in July 2005. We get the following conclusions：Compared with RMB spot rate changes,NDF,as the representative of forward exchange rate,has a significant impact on industry stock returns;The expected exchange rate has an obviously gradual influence on indnstry stock returns;In the first stage of reform,industries affected by forward exchange rate pay more attention to forward exchange rate appreciation,while in the third stage,different industries have diversified responses to spot exchange rate and forward exchange rate.

关 键 词：即期汇率 远期汇率 股票市场 汇率变动 汇率制度改革 人民币汇率 汇率收益率 人民币升值 

分 类 号：F830.9[经济管理—金融学]