人民币汇率变动对中国股六市行业风险的影响研究-投资理财专业毕业论文.docxVIP

浙江工商大学硕士论文 浙江工商大学硕士论文 人民币汇率变动对中国股市行业风险的影响研究 questions． To explore the above questions，this paper will study the impact of the change of the exchange rate of the RMB on the risks of different industries in Chinese stock market．Before the theoretical analysis，the author of this paper has referred to many literatures and sorted them，then came up with 3 hypotheses based on the theories：(1)The shock ofthe RMB exchange rate Can cause different effects on the risks ofdifferent industries i11 Chinese stock market；(2)the change of the exchange rate of the RMB will has unsymmetrical effects on the risks of different industries in Chinese stock market；(3)the change ofthe exchange rate ofthe RMB has lagged effects on the risks of different industries in Chinese stock market．In the empirical research，this paper selected the daily closing prices of the following indexes，including Shanghai and Shenzhen 300 index，the real estate industry index，textile and costume industry index， petroleum industry index，automobile industry index，aviation industry index and gold industry index in Chinese stock market as well as the daily closing price of the central parity rate of the RMB against the U．S．dollar in indirect quotation．We used the daily data from January 4m，20 1 0 to June 3 0也，20 1 5，and selected 1 326 trading days when both the Chinese stock market and the foreigner exchange market were working．Then we got the logarithm yield of each index and we used them to set up the GARCH model，which couldj help US to get the daily value．at risk of each index SO that we could describe the risks that Shanghai and Shenzhen 300 index and each industry were facing．After we got the sequence of VaR of each industry,we then started the following empirical researches by using the VaR sequences we got above．(1)Drew the graphs of impulse response function，SO that we could study whether the shock of the RMB exchange rate would cause different