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汇率与股票价格的关系在理论和实证中存在较大争议。本文运用JJ协整检验、格兰杰因果检验分析了我国沪深主要股指与美元兑人民币汇率之间的长期协整和因果关系。研究发现虽然汇率与股指之间存在长期的协整关系。在格兰杰因果检验中,美元汇率与A股指数和综合指数有双向因果关系,对沪市B股有单向因果关系,与深市B股没有相关关系。
The relationship between the exchange rate and the stock price is quite controversial in both theory and evidence. This paper uses the JJ cointegration test and Granger causality test to analyze the long-term cointegration and causality between the major stock indexes in Shanghai and Shenzhen and the exchange rate between the U.S. dollar and the RMB. The study found that although there is a long-term cointegration relationship between exchange rate and stock index. In the Granger causality test, the exchange rate of the U.S. dollar has a two-way causal relationship with the A-shares index and the composite index, has a one-way causal relationship with the B shares of the Shanghai stock market, and has no correlation with the B shares of the Shenzhen Stock Exchange.