汇率与股价关联的实证研究——基于汇改后中国大陆、台湾、香港的数据

通过运用协整检验和格兰杰因果检验对汇率制度改革后中国大陆、台湾、香港的股市与汇市关系的实证结果表明,中国大陆汇市与股市存在长期稳定的协整关系,短期相互影响明显;台湾汇市与股市只存在短期的相互效应;香港数据表明两者不存在因果关系,但方差分解显示股市变动对汇率波动有一定的冲击效应.

An Empirical Study about Exchange Rate and Stock Price Interaction: Evidence from Mainland China, Taiwan and Hongkong

Based on the cointegration and Granger test,this paper discusses the relationship between exchange rates and stock prices in Mainland China,Taiwan and Hongkong after exchange rate reform in China.The empirical results show that there exist a long-run cointegration and short-run interactions between exchange rate and stock price in Mainland China,and only short-run interrelationship in Taiwan.The data of Hongkong indicates that exchange rate and stock price have a unidirectional Graner causality,but stock pr...