| 汇率与股价的溢出效应及长期联动性——基于汇改后中国市场的实证研究 |
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| 引用本文： | 范致镇,陈秀权.汇率与股价的溢出效应及长期联动性——基于汇改后中国市场的实证研究[J].金融理论与实践,2010(1). |
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| 作者姓名： | 范致镇 陈秀权 |
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| 作者单位： | 1. 中国人民银行南京分行,江苏,南京,210004
2. 中国人民银行淮安市中心支行,江苏,淮安,223001 |
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| 基金项目： | 国家社科基金“多层次资本市场的效率研究”(07CJL014) |
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| 摘 要： | 随着中国资本市场改革的深化,市场间的互动关系逐步回归市场化关联。本文运用协整检验、Granger因果检验、多元GARCH模型研究了汇率与股价的互动关系。研究结果表明:在长期联动性方面,汇率与股价存在稳定的长期均衡关系;在价格溢出方面,只存在汇率到股价的单向引导关系;波动溢出方面,汇市的波动冲击会影响股市,而股市的波动对汇市无明显影响。进一步的研究中,本文估算了汇率波动对股市开盘价及收盘价的影响大小。
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| 关 键 词： | 金融市场 汇率 股价 长期均衡 价格溢出 波动溢出 |
The Spillover Effects of Exchange Rate and Stock Price and Their Long-term Linkage |
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| Fan Zhi-zhen,Chen Xiu-qian.The Spillover Effects of Exchange Rate and Stock Price and Their Long-term Linkage[J].Financial Theory and Practice,2010(1). |
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| Authors: | Fan Zhi-zhen Chen Xiu-qian |
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| Institution: | Fan Zhi-zhen,Chen Xiu-qian |
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| Abstract: | This paper presents an empirical study to investigate the relationship between exchange rates and stock prices in China.Based on Co-integration,Granger Causality Test and Multiple GARCH model,our finding indicates that the exchange rate is highly related to the stock price.The evidences show that long-term equilibrium exists;meanwhile,there is unidirectional spillover effect by foreign exchange market to stock market.In further research,we try to estimate the impacts on both opening price and closing price ... |
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| Keywords: | Exchange Rate Stock Price Long-term Equilibrium Price Spillover Volatility Spillover |
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