汇率波动、QFII投资与中国股票价格关系研究--基于VAR模型的实证分析  

A Study on Relationship between Exchange Rate Volatility,QFII Investment and Chinese Stock Price——An Empirical Analysis Based on VAR model

作　　者：孙显超[1,2] 刘学航[1] 李杰[1] 

机构地区：[1]四川大学锦江学院 [2]西南财经大学中国金融研究中心

出　　处：《价格理论与实践》2017年第3期124-127,共4页Price:Theory & Practice

基　　金：四川省教育厅2016年人文社会科学项目“汇率波动、QFII持仓与中国股票价格”(17SB0272);四川省教育厅2015年人文社会科学一般项目(15SB0336)

摘　　要：本文在开放视角下研究汇率、QFII投资与股票价格之间的关系,有助于理解资产价格之间的联动关系,对于化解系统性金融风险、建立有效率的资本市场具有重要意义。文章运用VAR模型实证研究发现,QFII投资和股票价格指数同方向变化,长期内具有正向引导作用。汇率对股票市场影响具有一定的异质性特征——与上证指数正相关,与深成指负相关,这一异质性机理源于两市市场有效性程度。This paper researches the relationship between the exchange rate, the QFII investment and stock prices in an open perspective, to understand the linkage relationship between asset prices, to resolve systemic financial risks, and estab- lishes efficient capital market, has important significance. Using VAR model, this pa- per finds that the QFII investment and stock price index change in the same direc- tion, which has a positive guiding role in the long term. The exchange rate impact on the stock market has the heterogeneity ： the positive correlation with the Shanghai Composite Index, and negative correlation with Shen Zhen Component Index.

关 键 词：汇率 QFII 股票价格 VAR模型 

分 类 号：F832.51[经济管理—金融学] F832.6