人民币汇率对国内股票收益的影响——基于汇率高阶矩风险的角度  

Research on the Impact of RMB Exchange Rate on Domestic Stock Returns——Based on the Perspective of High-order Moment Risk of Exchange Rate

作　　者：张杰[1] Zhang Jie

机构地区：[1]西南财经大学金融学院

出　　处：《财经科学》2019年第7期16-29,共14页Finance & Economics

摘　　要：本文基于高阶矩指标研究汇率风险对我国上证A股市场股票收益的影响。实证结果表明:(1)上证A股市场股票收益整体上受到汇率高阶矩风险的影响;(2)从一级分行业角度看,与整体回归结果类似,上证A股大部分行业股票收益受到汇率高阶矩风险影响,其中方差影响最大,偏度影响次之,峰度影响最小;(3)汇率高阶矩风险对金融业和制造业的二级分行业影响显著。企业收益率对汇率高阶矩指标的风险暴露能有效刻画企业汇率风险。Based on the high order moment risk index(variance, skewness and kurtosis) of RMB exchange rate, this paper studies the influence of high order moment risk on the stock returns of China’s Shanghai stock market. The empirical results show that:Firstly, the stock returns of the Shanghai A share market are affected by the high degree of the moment risk of the exchange rate, and the high order moment risks ignored in the past should not be ignored. Secondly,from the view of industry, Most industries of Shanghai A shares are affected by the high-order moment risk of the exchange rate, but there exist industrial heterogeneity. Third,Further analysis showed that the exchange rate higher moments risk affect significantly in the financial and manufacturing secondary industries, almost all financial secondary industries are affected by exchange rate higher order moment of risk, almost all manufacturing secondary industries are significantly influenced by the risk of exchange rate higher order moment of influence.The empirical results show that the high-order moment risk index can effectively reflect the exchange rate risk of listed companies.

关 键 词：汇率高阶矩风险 股票收益 分行业 

分 类 号：F832[经济管理—金融学]