人民币汇率波动与A股股价波动关联性的实证研究.docx

PAGE 6 人民币汇率波动与A股股价波动关联性的实证研究 摘要：汇率和股价分别作为外汇市场和股票市场的价格，之间存在密切联系，研究人民币汇率波动与A股股价波动的关系及其传导机制，对防范金融风险的跨市场转移有积极意义。本文首先通过梳理文献，结合汇率决定和股价决定理论，分析汇率波动与股价波动的内在关联性及关联机制，然后通过协整检验、Granger因果关系检验等方法，研究人民币汇率波动与A股股价波动的关系及其传导机制，并研究了该种关系的时变性和结构性特征。最后本文建议进一步完善外汇市场管理机制，聚焦股票价格形成机制，防范金融风险的跨市场转移。 关键词：汇率波动；股价波动；关联性；Granger因果检验 Empirical study on the relationship between the fluctuation of RMB exchange rate and the volatility of the A share market Abstract: Exchange rate and share price are closely related to the price of foreign exchange market and stock market. It is significant to study the relationship between RMB exchange rate volatility and A share price volatility and its transmission mechanism, so as to prevent cross market transfer of financial risk. Firstly, through the literature review, combined with the exchange rate and stock price decision theory, correlation analysis and correlation mechanism of exchange rate volatility and stock price volatility, and then through the cointegration test, Granger causality test and other methods, to study the fluctuations of RMB exchange rate and stock price fluctuation and its relationship with A transmission mechanism, and study the relationship between the time-varying the structural characteristics and. Finally, this paper proposes to further improve the management mechanism of the foreign exchange market and focus on the mechanism of stock price formation to prevent the cross market transfer of financial risks. Key words: exchange rate fluctuation; stock price fluctuation; relevance; Granger causality test 一、引言 经济全球化和金融全球化发展，各国金融市场之间的相互联系与影响程度日益加深，因此金融资产的价格不仅受到本国金融市场的影响，也会受到其他国家金融市场的影响。而汇率和股票价格指数分别作为外汇市场和股票市场的价格，二者也难免会受到彼此波动的影响。未来随着我国汇率制度改革的不断深化及全球金融一体化进程的加速，外汇市场与股票市场的关联将会越发紧密，汇率与股市的波动也将会产生更强的相互影响。汇率与股票价格指数的关系己经引起很多专家学者的注意，但现有研究主要针对市场化程度较高的西方发达资本主义国家，但针对像我国这样的新兴资本市场的相关研究还相对较少。 汇率是以一种货币表示另一种货币的价格，是一国货币的国际价格。根据购买力平价理论：汇率的变化反映了一国国际购买力的变化及经济基本面的变化。股票价格指数能够灵敏地反映实体经济的细微变化，是一国宏观经济的“晴雨表”。汇率和股价这两个重要的金融市场价格都能够反映一国实体经济的发展变化，它们之间存在着某种内在的联系。在人民币国际化的不