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

页码：149 / 152

页数：4

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