汇率波动对股票收益率影响的异质性研究  

The Heterogeneity Research of Exchange Rate Fluctuations on Stock Returns

作　　者：孙显超[1] 曹廷贵[1] 赵晓磊[2] 

机构地区：[1]西南财经大学中国金融研究中心,四川成都611130 [2]亚利桑那州立大学凯瑞商学院,美国亚利桑那州85281

出　　处：《现代财经（天津财经大学学报）》2016年第11期30-38,共9页Modern Finance and Economics：Journal of Tianjin University of Finance and Economics

摘　　要：汇率波动如何影响各国股票收益率成为本文的研究焦点。文章通过严谨逻辑推导，认为汇率对股票收益率影响具有异质性特征：（1）汇率引起股票收益率的波动，受市场上技术交易和基本面交易的比例影响；（2）汇率对股票收益率的影响还受制于股市技术交易者与基本面交易者对汇率变动的敏感程度。文章利用混合平衡面板数据实证发现：对于发达国家，汇率与股票收益率同方向变动，发展中国家汇率波动率与股市收益率反方向变动；研究发现各国在不同的发展阶段，汇率对股票收益率影响的程度也具有异质性。With the background of global economic integration and financial liberalization, the way the exchange rate fluctuations are affecting the stock returns becomes the research focus of this article. Through rigorous theoretical derivation of the logic model, we found heterogeneous charac-teristics existing in the impacts of the exchange rate on stock returns： first, the influence of the exchange rate on the fluctuations of stock prices is affected by the proportion of the market technical and fundamental trading investors; second, the influence of the exchange rate on the fluctuations of stock prices is also subject to the extent of reaction of those traders in technical stock market and the fundamental market. Using the hybrid panel data to test the heterogeneity hypothesis of the relationship between the exchange rate and stock volatility, the empirical results show that., the Sampie data in developed countries show positive changes of exchange rates with the stock returns rates, while in developing countries, the exchange rate volatility and stock market returns change in the opposite direction. In different finance stages, heterogeneity also exists. After 2005, the impact of exchange rate is more significant.

关 键 词：异质性 汇率波动率 混合面板回归 

分 类 号：F832.6[经济管理—金融学]