Research on the Impact of RMB Exchange Rate Fluctuation on Chinese Stock Market——From the Perspective of Index

Xing Chengdong; Zhang Quan

doi:doi:10.11648/j.ijefm.20150305.40

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Research on the Impact of RMB Exchange Rate Fluctuation on Chinese Stock Market——From the Perspective of Index

Xing Chengdong, Zhang Quan

Published in International Journal of Economics, Finance and Management Sciences (Volume 3, Issue 5)

Received: 18 November 2015 Published: 20 November 2015

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Abstract

In order to study the relationship between RMB exchange rate and Chinese stock markets, this article makes the theoretical analysis and empirical analysis, which is based on Johansen cointegration test and Granger causality test. The data include 11 Chinese industry sectors. The results show that the relation between RMB exchange rate and the logarithm of three Chinese sector indexes, containing textiles, pharmaceutical business and general machinery, exists long-term cointegration relationship, and the change of RMB exchange rate is the Granger cause of these Chinese sector indexes; however, RMB exchange rate has no significant cointegration relationship with eight Chinese sector indexes, containing paper, real estate, financial services, air transport, iron and steel, non-ferrous metals refining, petrochemical and trade. Finally, this article makes an analysis on the empirical results and presents some policy suggestions.

Published in	International Journal of Economics, Finance and Management Sciences (Volume 3, Issue 5)
DOI	10.11648/j.ijefm.20150305.40
Page(s)	641-645
Creative Commons	This is an Open Access article, distributed under the terms of the Creative Commons Attribution 4.0 International License (http://creativecommons.org/licenses/by/4.0/), which permits unrestricted use, distribution and reproduction in any medium or format, provided the original work is properly cited.
Copyright	Copyright © The Author(s), 2015. Published by Science Publishing Group

Keywords

Exchange Rate Movements, Sector Index, Johansen, Granger

References

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[3]	SOENEN L A，HENNIGAR E S. An analysis of exchange ratesand stock prices - the US experience between 1980 and 1986［J］.Akron Business and Economic Review，1989（12）.
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[6]	方婷、曹崇延、蒋果.人民币汇率与行业股指的协整及因果关系分析[J].安徽大学学报.2008(1)。
[7]	高铁梅.计量经济分析方法与建模:Eviews应用及实例[M].北京:清华大学出版社,2006。
[8]	李忠、张涤新.金融危机背景下汇市与股市关系实证研究[J].财经论丛.2009,(4)。
[9]	吴丽华、傅广敏.人民币汇率、短期资本与股价互动[J].经济研究.2014,(11)。
[10]	熊正德、文慧、万军.汇率与股指联动关系:基于战略性新兴产业板块的实证[J].系统工程.2015,(7)。
[11]	张碧琼、李越.汇率对中国股票市场的影响是否存在:从自回归分布滞后模型得到的证明[J].金融研究.2002,(7)。
[12]	张兵、封思贤、李心丹、汪慧建.汇率与股价变动关系：基于汇改后数据的实证研究[J].经济研究.2008,(9)。
[13]	朱新蓉,朱振元.人民币汇率波动与中国股票价格报酬之间的相关性——基于2005年至2007年的实证分析[J].金融研究.2008,(11)。
[14]	赵进文、张敬思.人民币汇率、短期国际资本流动与股票价格——基于汇改后数据的再检验[J].金融研究.2013,(1)。

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APA Style

Xing Chengdong, Zhang Quan. (2015). Research on the Impact of RMB Exchange Rate Fluctuation on Chinese Stock Market——From the Perspective of Index. International Journal of Economics, Finance and Management Sciences, 3(5), 641-645. https://doi.org/10.11648/j.ijefm.20150305.40

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ACS Style

Xing Chengdong; Zhang Quan. Research on the Impact of RMB Exchange Rate Fluctuation on Chinese Stock Market——From the Perspective of Index. Int. J. Econ. Finance Manag. Sci. 2015, 3(5), 641-645. doi: 10.11648/j.ijefm.20150305.40

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AMA Style

Xing Chengdong, Zhang Quan. Research on the Impact of RMB Exchange Rate Fluctuation on Chinese Stock Market——From the Perspective of Index. Int J Econ Finance Manag Sci. 2015;3(5):641-645. doi: 10.11648/j.ijefm.20150305.40

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@article{10.11648/j.ijefm.20150305.40,
  author = {Xing Chengdong and Zhang Quan},
  title = {Research on the Impact of RMB Exchange Rate Fluctuation on Chinese Stock Market——From the Perspective of Index},
  journal = {International Journal of Economics, Finance and Management Sciences},
  volume = {3},
  number = {5},
  pages = {641-645},
  doi = {10.11648/j.ijefm.20150305.40},
  url = {https://doi.org/10.11648/j.ijefm.20150305.40},
  eprint = {https://article.sciencepublishinggroup.com/pdf/10.11648.j.ijefm.20150305.40},
  abstract = {In order to study the relationship between RMB exchange rate and Chinese stock markets, this article makes the theoretical analysis and empirical analysis, which is based on Johansen cointegration test and Granger causality test. The data include 11 Chinese industry sectors. The results show that the relation between RMB exchange rate and the logarithm of three Chinese sector indexes, containing textiles, pharmaceutical business and general machinery, exists long-term cointegration relationship, and the change of RMB exchange rate is the Granger cause of these Chinese sector indexes; however, RMB exchange rate has no significant cointegration relationship with eight Chinese sector indexes, containing paper, real estate, financial services, air transport, iron and steel, non-ferrous metals refining, petrochemical and trade. Finally, this article makes an analysis on the empirical results and presents some policy suggestions.},
 year = {2015}
}

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TY  - JOUR
T1  - Research on the Impact of RMB Exchange Rate Fluctuation on Chinese Stock Market——From the Perspective of Index
AU  - Xing Chengdong
AU  - Zhang Quan
Y1  - 2015/11/20
PY  - 2015
N1  - https://doi.org/10.11648/j.ijefm.20150305.40
DO  - 10.11648/j.ijefm.20150305.40
T2  - International Journal of Economics, Finance and Management Sciences
JF  - International Journal of Economics, Finance and Management Sciences
JO  - International Journal of Economics, Finance and Management Sciences
SP  - 641
EP  - 645
PB  - Science Publishing Group
SN  - 2326-9561
UR  - https://doi.org/10.11648/j.ijefm.20150305.40
AB  - In order to study the relationship between RMB exchange rate and Chinese stock markets, this article makes the theoretical analysis and empirical analysis, which is based on Johansen cointegration test and Granger causality test. The data include 11 Chinese industry sectors. The results show that the relation between RMB exchange rate and the logarithm of three Chinese sector indexes, containing textiles, pharmaceutical business and general machinery, exists long-term cointegration relationship, and the change of RMB exchange rate is the Granger cause of these Chinese sector indexes; however, RMB exchange rate has no significant cointegration relationship with eight Chinese sector indexes, containing paper, real estate, financial services, air transport, iron and steel, non-ferrous metals refining, petrochemical and trade. Finally, this article makes an analysis on the empirical results and presents some policy suggestions.
VL  - 3
IS  - 5
ER  -

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Author Information

Xing Chengdong

Economics School, Shanghai University, Shanghai, China
Zhang Quan

Economics School, Shanghai University, Shanghai, China

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Plain Text BibTeX RIS

APA Style

Xing Chengdong, Zhang Quan. (2015). Research on the Impact of RMB Exchange Rate Fluctuation on Chinese Stock Market——From the Perspective of Index. International Journal of Economics, Finance and Management Sciences, 3(5), 641-645. https://doi.org/10.11648/j.ijefm.20150305.40

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ACS Style

Xing Chengdong; Zhang Quan. Research on the Impact of RMB Exchange Rate Fluctuation on Chinese Stock Market——From the Perspective of Index. Int. J. Econ. Finance Manag. Sci. 2015, 3(5), 641-645. doi: 10.11648/j.ijefm.20150305.40

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AMA Style

Xing Chengdong, Zhang Quan. Research on the Impact of RMB Exchange Rate Fluctuation on Chinese Stock Market——From the Perspective of Index. Int J Econ Finance Manag Sci. 2015;3(5):641-645. doi: 10.11648/j.ijefm.20150305.40

Copy | Download

@article{10.11648/j.ijefm.20150305.40,
  author = {Xing Chengdong and Zhang Quan},
  title = {Research on the Impact of RMB Exchange Rate Fluctuation on Chinese Stock Market——From the Perspective of Index},
  journal = {International Journal of Economics, Finance and Management Sciences},
  volume = {3},
  number = {5},
  pages = {641-645},
  doi = {10.11648/j.ijefm.20150305.40},
  url = {https://doi.org/10.11648/j.ijefm.20150305.40},
  eprint = {https://article.sciencepublishinggroup.com/pdf/10.11648.j.ijefm.20150305.40},
  abstract = {In order to study the relationship between RMB exchange rate and Chinese stock markets, this article makes the theoretical analysis and empirical analysis, which is based on Johansen cointegration test and Granger causality test. The data include 11 Chinese industry sectors. The results show that the relation between RMB exchange rate and the logarithm of three Chinese sector indexes, containing textiles, pharmaceutical business and general machinery, exists long-term cointegration relationship, and the change of RMB exchange rate is the Granger cause of these Chinese sector indexes; however, RMB exchange rate has no significant cointegration relationship with eight Chinese sector indexes, containing paper, real estate, financial services, air transport, iron and steel, non-ferrous metals refining, petrochemical and trade. Finally, this article makes an analysis on the empirical results and presents some policy suggestions.},
 year = {2015}
}

Copy | Download

TY  - JOUR
T1  - Research on the Impact of RMB Exchange Rate Fluctuation on Chinese Stock Market——From the Perspective of Index
AU  - Xing Chengdong
AU  - Zhang Quan
Y1  - 2015/11/20
PY  - 2015
N1  - https://doi.org/10.11648/j.ijefm.20150305.40
DO  - 10.11648/j.ijefm.20150305.40
T2  - International Journal of Economics, Finance and Management Sciences
JF  - International Journal of Economics, Finance and Management Sciences
JO  - International Journal of Economics, Finance and Management Sciences
SP  - 641
EP  - 645
PB  - Science Publishing Group
SN  - 2326-9561
UR  - https://doi.org/10.11648/j.ijefm.20150305.40
AB  - In order to study the relationship between RMB exchange rate and Chinese stock markets, this article makes the theoretical analysis and empirical analysis, which is based on Johansen cointegration test and Granger causality test. The data include 11 Chinese industry sectors. The results show that the relation between RMB exchange rate and the logarithm of three Chinese sector indexes, containing textiles, pharmaceutical business and general machinery, exists long-term cointegration relationship, and the change of RMB exchange rate is the Granger cause of these Chinese sector indexes; however, RMB exchange rate has no significant cointegration relationship with eight Chinese sector indexes, containing paper, real estate, financial services, air transport, iron and steel, non-ferrous metals refining, petrochemical and trade. Finally, this article makes an analysis on the empirical results and presents some policy suggestions.
VL  - 3
IS  - 5
ER  -

Copy | Download