The Interrelationship Between Exchange Rates and Stock Prices: Evidence from China

被引：0

作者：

Liu Dongbiao ^{[1
]}

Liu Yi ^{[1
]}

机构：

[1] Hebei United Univ, Coll Foreign Languages, Tangshan 063009, Peoples R China

来源：

PROCEEDINGS OF THE 3RD (2011) INTERNATIONAL CONFERENCE ON FINANCIAL RISK AND CORPORATE FINANCE MANAGEMENT, VOLS 1 AND 2 | 2011年

关键词：

exchange rate; stock price; exchange rate reform;

D O I：

暂无

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This paper tries to investigate the relationship between RMB exchange rates and A-share stock prices in China, after the Exchange Rate Reform, on July 21, 2005. The econometric models applied are including the Unit Root Test, Engle-Granger Two-step Test and Granger-causality Test. The findings show some long-term cointegrating relationships between RMB exchange rates and stock market prices and there is a significant uni-directional causal relationship existing between Japanese Yen against RMB exchange rate and the A share stock prices.

引用

页码：688 / 693

页数：6

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