Abstract This paper investigatedthe relationship between RMB exchange rate and A-share stock returns in China, in particular in Shanghai stock market. We find that both stock returns and RMB nominal exchange rate are integrated of order 1. The Engle-Granger cointegration test was then performed, suggesting that there is not a long-run equilibrium relationship between stock returns and RMB exchange rates at 5% significance level. However, strong evidence suggests that there is a short-run uni-directional causality relationship from the nominal exchange rate to the stock returns. 全文查看链接 　　Chien-Chung Nieth