| 我国汇市和股市相关性的实证研究 |
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| 引用本文： | 周义,李梦玄.我国汇市和股市相关性的实证研究[J].科技与管理,2009,11(1). |
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| 作者姓名： | 周义 李梦玄 |
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| 作者单位： | 1. 华中农业大学,经管学院,湖北,武汉,430071;重庆大学,房地产管理学院,重庆,400030
2. 中南财经政法大学,金融学院,湖北,武汉,430074 |
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| 摘 要： | 以2005年7月21日中国汇率制度改革事件为契机,实证研究了人民币升值以来汇率与中国沪深两市主要股票指数之间的长期和短期相互关系.结果表明,长期运行关系来说,汇率与各主要股指有稳定的均衡关系;短期波动状况来说,汇率对A股指数有单向的Granger因果传递关系,而与B股指数之间没有因果传导关系.
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| 关 键 词： | 人民币汇率 股票指数 相关性 |
Research on the dynamic correlation between exchange rate market and stock market |
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| ZHOU Yi,LI Meng-xuan.Research on the dynamic correlation between exchange rate market and stock market[J].Science-Technology and Management,2009,11(1). |
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| Authors: | ZHOU Yi LI Meng-xuan |
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| Institution: | 1.Economical Management School;Huazhong University of Agriculture;Wuhan 430071;China;2.Faculty of Construction Management and Real Estate;Chongqing University;Chongqing 400030;3.School of Finance;Zhongnan University of Economics and Law;Wuhan 430074;China |
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| Abstract: | Based on the event of exchange rate regime transformation,long-term and short-term correlation between exchange rate market and stock market is studied in this paper.It is shown that there is a long-term equilibrium correlation between exchange rate and the main stock index.However,there is only one directional short-term Granger causality relation from RMB exchange rate to the A-shares index,and there is no short-term Granger causality relation between exchange rate and B-shares index. |
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| Keywords: | RMB exchange rate stock index correlation |
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