The Impact of Subprime Mortgage Crisis on the Relationship between Exchange Rate and Stock Price: Evidence from China

被引：0
|
作者：
Song, Qin [1 ]
机构：
[1] Xiamen Univ, Xiamen 361005, Fujian, Peoples R China
来源：
ICMS2010: PROCEEDINGS OF THE THIRD INTERNATIONAL CONFERENCE ON MODELLING AND SIMULATION, VOL 6: MODELLING & SIMULATION INDUSTRIAL ENGINEERING & MANAGEMENT | 2010年
关键词：
Subprime Mortgage Crisis; Exchange Rates; Stock Price; ARCH;
D O I：
暂无
中图分类号：
TP39 [计算机的应用];
学科分类号：
081203 ; 0835 ;
摘要：
This paper analyzes the relationship among the exchange rate of U.S. dollars against RMB (USD/CNY), Shanghai and S&P500 stock index by ARCH model. It finds that the relationship between exchange rate and Shanghai stock index return is negative; otherwise S&P500 and Shanghai stock index return is positive. After subprime mortgage crisis, the speed of exchange rate pass-through is accelerated. Then the exchange rate ARCH effect on stock price is disappeared.
引用
收藏
页码：149 / 152
页数：4
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