股灾阶段的汇率波动对股价影响的实证分析--2015年股灾的原因探究  

An empirical analysis of exchange rate fluctuations on the stock price of the stock market crash stage:Reasons for the stock market crash in 2015

作　　者：丁海山[1] 

机构地区：[1]华东师范大学经济与管理学部,上海200062

出　　处：《上海管理科学》2016年第2期96-101,共6页Shanghai Management Science

摘　　要：本文运用VAR和AG-DCC模型分析,去杠杆是造成这次股灾的直接原因,但是在这背后还有汇率贬值因素的影响,使得去杠杆后的非杠杆资金依旧快速流出股市,因为2015年的7月9日开始股市在政府的救市下已经有了回暖的迹象,但是在汇率的影响下再度下挫,因而研究汇率对于股市影响,对于救市政策的制定存在意义。Introduction the stock market is the one of the few investment channels of Chinese residents and the price will be closelyconcerned by manypeople.From 15 June 2015, the Shanghai Composite Index from highest 5178.19 points, fell to the lowest,2638.30 points ,to which many scholars and experts have given the corresponding explanation and put forward the corresponding solutions. At August 11, 2015China＇s central bank announced to cut CNY against the USD price. And the stable exchange rate market of CNY against the USD middle price plummeted more than 1000 points .Therefore we can not help thinking whether the stock price and the exchange rate meet the correspondingthe reverse relationship.If this relationship exist, what it is？ This paper uses VAR and agdcc model, analyzing the lever directly caused the crash, but in the behind as well as the exchange rate depreciation factors influenced.Stock marketbegan to be warmerunder the government＇s bailoutsince 9 July 2015, but it fell againunder the impact of the exchange rate. Therefore, the study of exchange rate impacting on the stock market has themeaning of existence for rescuing the stock market.

关 键 词：股价 汇率 去杠杆 VAR模型 AG—DCC模型 

分 类 号：F832[经济管理—金融学]