中美贸易摩擦对我国股票市场的影响

本文以2017年8月美国总统特朗普启用"301调查"为事件起点,研究中美贸易摩擦对我国股票市场的影响。以"贸易摩擦—汇率利率—股市"为分析框架,从货币政策、上市公司、投资者个人三个层面剖析对我国资本市场的冲击程度。利用日度的上证综指波动率,上海银行间同业拆放利率,美国联邦基金利率,人民币中间汇率等数据,结合这些金融数据具有自回归的特点采用ARMAGARCH模型实证分析了上述传导机制,先是科学验证了贸易战对我国股市存在实际影响;然后得出了贸易摩擦背景下,利率汇率和我国股价呈显著的负相关。     

人民币利率对汇率影响的实证研究：1981—2003

定量分析人民币利率对汇率长期走势与短期波动的影响,对于中国利率市场化与汇率制度选择等问题意义重大.对时间序列变量进行单位根检验、协整检验,以及建立误差修正模型等实证研究表明:无论在长期还是短期,人民币利率对汇率都是反向影响.长期内,利率对人民币汇率存在较强的影响;短期内,利率对人民币汇率影响较弱.我国利率主要还是通过商品市场间接地对汇率产生作用.     

基于西方四国的利率调整与股市门限效应分析

本文以美国、英国、加拿大及新西兰为研究对象,利用周度LIBOR、汇率、石油价格及股票价格指数,构建估计门限协整及门限误差修正模型,按照LIBOR的变化趋势划分为利率上调期与下调期,研究利率调整对股市的影响。研究表明无论是利率上调期还是下调期,四国利率对股票价格的影响都存在着显著的门限效应,利率对股票价格的影响除了受利率调整方向的影响外,还与利率调整的高低区制密不可分;无论是低利率区制还是高利率区制,四国股票价格在利率下调期的收敛速度明显快于利率上调期内的股价收敛速度;市场主体对利率调整空间的预期以及由此产生的股票与债券之间的替代效应,可以解释利率调整初期与股票价格的同向变化现象。     

浅析市场因子对市盈率的影响

近年来,伴随着股票市场的大幅波动,与股票估值水平紧密相关的市盈率问题一直是一个颇具争议的焦点。通过对市盈率的大量研究,得知影响股市平均市盈率水平的市场因素主要有四个:利率水平、股票价格、商品零售价格及汇率水平。结合相关的理论,利用我国1991—2011年的相关数据分析几种基本的市场因子(利率、汇率、股指及商品价格等基础变量)对市盈率的影响。以期为投资决策分析提供一些参考。     

浅析人民币汇率变动对市场利率的影响及相应政策——基于利率、汇率联动的分析

本文从资本流动角度考察了利率、汇率的联动,并着重分析了汇率变动对市场利率的影响。从均衡的角度讲,人民币汇率弹性的短期快速增长大大降低了利率波动的幅度,而利率对汇率的反馈机制有了更深层次的加强。通过对利率、汇率联动的理论分析,提出我国金融市场开放过程中,利率与汇率相互协调的政策措施。     

通过利率平价理论研究中国股价变动对资本流动的影响

现阶段由于我国股票市场发展不够完善,股票价格波动异常以及股票指数大起大落等一系列问题,因此有必要对股票价格进行研究。而股票价格变动会导致利率和汇率的变动,利率汇率的变动会导致国际资本的流动,结合目前我国持续出现的国际收支双顺差以及外汇储备规模过大的情况来看,对我国股票价格变动对国际资本流动的影响加以研究具有重要的意义。     

宏观经济变量与我国股票市场长期均衡性研究——基于向量误差修正模型

文章运用向量误差修正模型(VECM)研究我国股票市场与宏观经济变量之间的关系。选取的宏观经济变量有出口贸易额、通货膨胀率、美元兑人民币汇率、短期利率、长期利率和广义货币供给量(M2),且以沪深300股指作为我国股市表现的指标,建立它们之间的向量误差修正模型。结果表明:短期利率、出口贸易额与沪深300股指不存在同阶协整性;通货膨胀率、美元兑人民币汇率、货币供给量、一年期利率与沪深300股指之间存在协整关系;股票市场与美元兑人民币汇率、货币供给量和长期利率之间存在正相关关系,股票市场和通货膨胀率之间存在负相关关系。     

A+H双重上市公司股票价格差异与汇率变动研究

随着我国资本市场的不断发展,内地股票市场和香港股票市场的联系更加紧密,越来越多的公司选择在两地同时上市,双重上市公司股票价格存在的巨大差异,成为众所关注的焦点问题。本文运用面板数据,对两地股票价格差异的变动与汇率变动之间的关系进行研究,并对汇率制度改革前后两地股票市场的表现进行了分析。研究结果表明,双重上市公司股票价格差异的短期变动与汇率短期变动之间存在负向关系。在汇率制度改革之后,汇率的短期变动对双重上市公司股票价格差异变动的影响程度减弱。     

利率、汇率与股票市场的时变关系研究——基于TVP-SV-VAR模型的检验

本文通过对人民币实际汇率、90天加权平均银行同业拆借利率和沪深300指数三个变量运用TVP-SV-VAR模型进行实证研究,得出了以下结论:利率对股票价格的影响与理论相符,呈现反向关系,汇率对股票价格的影响较利率的影响更大,但两者对股票价格的影响并未体现出明显的时变性关系。股票价格的变动对利率和汇率的影响体现出了非对称性和明显的时变性,但对其影响程度有限。     

通货膨胀、人民币升值与股票价格波动——基于VAR模型的实证研究

本文通过协整检验和V A R模型研究发现,通货膨胀、人民币升值与股票价格之间存在长期稳定的关系,并且股票价格的一个标准差新息会在较长时期内引起通货膨胀和人民币汇率的上升。方差分解表明,无论是对通货膨胀还是对人民币汇率波动,股票价格都具有最大贡献率。为了降低通货膨胀和人民币升值压力,我国在短期应避免出台对股市利好的经济政策。     

Do financial structures affect exchange rate and stock price interaction? Evidence from emerging markets

We investigated the relationship between stock prices and exchange rates in eleven emerging markets over the period of 1988 to 2014 using cointegration methodology and multivariate granger causality tests. We find that in emerging markets, the inner-financial structure, which reflects the proportion of direct financing and indirect financing, plays an important role in the link between exchange rates and stock prices. For ten out of the eleven emerging markets studied, the financial structure had a significant impact, either through the flow channel or stock channel. The effects of financial-economic structure (FIR) were much smaller.     

Dynamics of Stock Prices and Exchange Rates Relationship: Evidence From Five Sub-Saharan African Financial Markets

This article examines the dynamic relationship between stock prices and exchange rates for five Sub-Saharan African financial markets: Ghana, Kenya, Mauritius, Nigeria and South Africa. It uses weekly data, covering the floating exchange rate regime from January 14, 2000, to December 31, 2009, and applies both the Vector Autoregression and the Dynamic Conditional Correlation models. Results from the Vector Autoregression model suggest no evidence of cointegration between stock prices and real exchange rates for all the five countries in the sample. Results from the dynamic conditional correlation show that the correlation coefficients are not constant for the period under study, and the estimates largely show a negative time-varying correlation for all the countries except Ghana that indicates a positive correlation.     

Market integration and contagion: Evidence from Asian emerging stock and foreign exchange markets

This paper examines whether Asian emerging stock markets (India, Korea, Malaysia, Philippines, Taiwan, and Thailand) have become integrated into world capital markets since their official liberalization dates by estimating and testing a dynamic integrated international capital asset pricing model (ICAPM) in the absence of purchasing power parity (PPP) using an asymmetric multivariate GARCH(1,1)-in-Mean approach. Also examined in this paper is whether there are pure contagion effects between stock and foreign exchange markets for each Asian country during the 1997 Asian crisis. The empirical results show that first, both currency and world market risks are priced and time-varying, suggesting that an international asset pricing model under PPP and constant price of risk might give rise to model misspecification. Second, the stock markets for India, Korea, Malaysia, Philippines, and Thailand were segmented from the world capital markets before their liberalization dates, but all six markets have become fully integrated since then. Third, the market liberalization has reduced the cost of capital and price volatility for most of the countries. Finally, as for the contagion effects, strong positive impact of return shocks originating from the domestic stock market to its foreign exchange market during the crisis is found. This dynamic relationship between stock market and foreign exchange market is consistent with stock-oriented exchange rate models.     

Stock prices and exchange rate dynamics in Nigeria: An asymmetric perspective

This paper investigates the asymmetric effect of exchange rate changes on stock prices in Nigeria. Using the nonlinear ARDL framework and monthly data from 2000:1 to 2016:12, the nominal exchange rate is separated into currency depreciation and appreciation through a partial sum decomposition process. Asymmetry is examined both in the long-run relationship and short-run error correction mechanism. The results show that the effects of exchange rate changes on stock prices is asymmetric both in the short- and long-run. That is, stock prices react in different magnitude to depreciation and appreciation. However, currency depreciation has a strong pass-through effect on stock prices than appreciation in the long-run. In the absence of asymmetry, exchange rate has only short-run effect on stock prices. This implies that the symmetry assumption underestimates the impact of exchange rate changes on stock prices in Nigeria.     

Do Foreign Investors Promote Stock Price Efficiency in Emerging Markets?

This paper examines the role of foreign investors in promoting stock price efficiency in emerging stock markets relying on the fact that stock prices in these markets are influenced by both local and global factors. We employ a data sample of Vietnamese‐listed firms on the Ho Chi Minh City stock exchange over the period from 2006 to 2015. We utilize the panel data estimation analysis. The results show that foreign investors accelerate the incorporation of available information into local stock prices. The finding reinforces the important role of foreign investors in domestic stock markets of emerging economies.     

Impacts of short-term interest rates on stock returns and exchange rates: Empirical evidence from EAGLE countries

In this study, we estimate Bayesian vector autoregression (BVAR) and time-varying structural VAR (TVP-VAR) models for Brazil, Indonesia, Mexico and Turkey to analyze the impacts of short-term interest rates on stock prices and exchange rates considering the relationships between these variables. BVAR and TVP-VAR models’ estimations indicate that monetary policy decisions of these countries lead to capital movements as well as capital movements may create a considerable amount of variation in exchange and stock markets both in the periods of economic stability and financial crisis. We also reveal that increases in interest rates intending to prevent capital outflows may lead to decrease in stock returns, which in turn may deteriorate the real economic activity in Indonesia, while changes in short-term interest rates in Brazil, Indonesia and Turkey cannot be used as a tool to stabilize the value of their home currencies against the USD. Our study highlights the importance of formulating an optimal monetary policy framework accompanied by macro-prudential polices, which help to reach inflation target and smooth the possible variations in exchange rates and stock prices during economic crisis conditions in Brazil, Indonesia, Mexico and Turkey.     

Effects of monetary policy news on financial assets: Evidence from Brazil on a bivariate VAR-GARCH model (2006–17)

The impact of news releases related to the inflation targeting regime on the financial market is analyzed by estimating a bivariate VAR GARCH-BEKK-in-mean model. We use daily data, from January 2006 to May 2017, of stock prices index (IBOVESPA), exchange rate (BRL/USD) and interbank deposit rate (DI360). We developed a positive and negative news index to measure the impact of news releases based on Caporale et al. (2016) and Caporale et al. (2018). Although the literature on the subject is vast, this paper fills relevant gaps in three ways. First, we investigate the bidirectional relationship between monetary policy related news releases and the behavior of asset prices before and after the 2008 crisis in Brazil. Second, we consider the relationship between the second moments of the variables of interest, using the conditional volatility as a proxy for uncertainty. Third, we provide a time series approach to measure the effect of macroeconomic related news releases on financial asset returns. The results indicate there are mean spread effects from news for the exchange rate and the Brazilian stock index: (i) the GARCH-in-mean parameter is statistically significant for positive and the difference of news for the DI360; (ii) monetary policy and external shocks are statiscally significant as expected with exception of the external shocks for the Brazilian stock index; and (iii) there are volatility spillovers and changes of this volatility after the crisis for stock index and DI360.     

Market microstructure effects on volatility at the TAIFEX

This study examines whether changes in the frequency of market clearing or changes in trading hours on competing exchanges that use different auction systems affect the volatility of futures prices. In particular, this study exploits a natural experiment in the frequency of market clearing of stock index futures contracts traded on the Taiwan Futures Exchange (TAIFEX) to assess whether successive increases in the frequency of market clearing are associated with changes in the volatility of futures prices. The impact of changes in the trading hours on the TAIFEX and on the competing Singapore Exchange (SGX) where a similar Taiwanese stock index futures contract trades under a continuous auction market regime is also examined. The evidence for the impact of an increase in the frequency of market clearing on volatility is mixed. However, the introduction of simultaneous opening times for the TAIFEX (which batches orders at the open) and the SGX (which does not) is associated with a significant reduction in the volatility in SGX Taiwanese stock index futures prices. © 2007 Wiley Periodicals, Inc. Jrl Fut Mark 27:1219–1243, 2007     

Industrial research and development and real exchange rate depreciation in a small open economy

To examine how changes in relative national prices affect innovation input, this paper studies the impact of changes in industry-specific effective real exchange rates on industrial R&D expenditures in Korea. In particular, it explores the heterogeneous responses of industries with different export intensities. Employing dynamic panel data estimation techniques, the results suggest that among industries with medium levels of export intensity a lagged depreciation in industry-specific effective real exchange rate leads to a decline in contemporaneous industry-level R&D expenditures. However, this adverse effect is insignificant for industries that either mostly serve the domestic markets or that are heavily engaged in foreign markets.     

Exchange Rates and FDI: Goods versus Capital Market Frictions

Changes in exchange rates affect countries through their impact on cross‐border activities such as trade and foreign direct investment (FDI). With increasing activities of multinational firms, the FDI channel is likely to gain in importance. Economic theory provides two main explanations why changes in exchange rates can affect FDI. According to the first explanation, FDI reacts to exchange rate changes if there are information frictions on capital markets and if investment depends on firms’ net worth (capital market friction hypothesis). According to the second explanation, FDI reacts to exchange rate changes if output and factor markets are segmented, and if firm‐specific assets are important (goods market friction hypothesis). We provide a unified theoretical framework of these two explanations. We analyse the implications of the model empirically using a dataset based on detailed German firm‐level data. We find greater support for the goods market than for the capital market friction hypothesis.