The exchange rate of RMB, SH-HK stock connect trading and stock index volatility

被引：0
|
作者：
Xu C. [1 ]
Liu X. [1 ]
Wu F. [1 ]
机构：
[1] School of Economics and Management, Southeast University, Nanjing
来源：
Xitong Gongcheng Lilun yu Shijian/System Engineering Theory and Practice | 2020年 / 40卷 / 06期
基金：
中国国家自然科学基金;
关键词：
RMB exchange rate; SH-HK stock connect; Shanghai-50; index; Shanghai-tong;
D O I：
10.12011/1000-6788-2020-0428-16
中图分类号：
学科分类号：
摘要：
With the further implementation of capital market opening policies, how will the linkage effect between RMB exchange rate, foreign capital flows and mainland stock market evolve? This paper studies the time-varying characteristics of the dynamic relationship among RMB exchange rate, Shanghai-tong and Shanghai-50 index based on SV-TVP-SVAR model. We find that from the perspective of current relationship, RMB exchange rate significantly and negatively influenced the net inflow of Shanghai-tong and Shanghai-50 index, and the net inflow of Shanghai-tong have a significant positive impact on Shanghai-50 index. From the perspective of impulse response, the depreciation of RMB has generally led to net outflow of Shanghai-tong and dragged down Shanghai-50 index. The net inflow of Shanghai-tong has a significant time-varying impact on the depreciation of RMB and promotes the rise of Shanghai-50 index. The rise of Shanghai-50 index led to the appreciation of RMB and the outflow of Shanghai-tong, confirmed the reverse investment style of Shanghai-tong fund. In this paper, we first described the linkage effect among RMB exchange rate, Shanghai-tong trading and mainland market, and put forward some targeted policies to improve SH-HK stock connect trading mechanism, maintain the stable of RMB exchange rate and promote the healthy development of capital market. © 2020, Editorial Board of Journal of Systems Engineering Society of China. All right reserved.
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页码：1452 / 1467
页数：15
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