| 汇率制度改革后中国股市与汇市关系——人民币名义汇率与上证综合指数的实证研究 |
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| 引用本文： | 邓燊,杨朝军.汇率制度改革后中国股市与汇市关系——人民币名义汇率与上证综合指数的实证研究[J].金融研究,2008(1). |
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| 作者姓名： | 邓燊 杨朝军 |
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| 作者单位： | 上海交通大学安泰经济与管理学院;200052; |
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| 摘 要： | 本文利用协整检验和Granger因果检验的计量方法研究了汇率制度改革后中国股市与汇市的关系。实证结果表明,汇率制度改革后中国股市与汇市存在长期稳定的协整关系,人民币升值是中国股市上扬的单向Granger原因。最后,本文利用国际收支和资本流动理论对这些实证结果作了进一步解释,并提出了相应的政策建议。
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| 关 键 词： | 汇率 股价 协整检验 Granger因果检验 |
An empirical Study on the Relationship between Stock Price and Exchange Rate in China |
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| Deng Shen Yang Chaojun.An empirical Study on the Relationship between Stock Price and Exchange Rate in China[J].Journal of Financial Research,2008(1). |
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| Authors: | Deng Shen Yang Chaojun |
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| Abstract: | Based on the cointegration and Granger test,this paper discusses the relationship between stock prices and exchange rates after exchange rates reform in China.The empirical results show that there exists a long-run cointegration between stock prices and exchange rates,and exchange rate is a unidirectional Granger causality of stock price,which are explained by international trade and capital mobility theory. |
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| Keywords: | exchange rate stock price cointegration test Granger causality test |
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