金融理论与实践
金融理論與實踐
금융이론여실천
Financial Theory and Practice
2010年
1期
91~95
,共null页
金融市场 汇率 股价 长期均衡 价格溢出 波动溢出
金融市場 彙率 股價 長期均衡 價格溢齣 波動溢齣
금융시장 회솔 고개 장기균형 개격일출 파동일출
Exchange Rate; Stock Price; Long-term Equilibrium; Price Spillover; VolatilitySpillover
随着中国资本市场改革的深化,市场间的互动关系逐步回归市场化关联。本文运用协整检验、Granger因果检验、多元GARCH模型研究了汇率与股价的互动关系。研究结果表明:在长期联动性方面,汇率与股价存在稳定的长期均衡关系;在价格溢出方面,只存在汇率到股价的单向引导关系;波动溢出方面,汇市的波动冲击会影响股市,而股市的波动对汇市无明显影响。进一步的研究中,本文估算了汇率波动对股市开盘价及收盘价的影响大小。
隨著中國資本市場改革的深化,市場間的互動關繫逐步迴歸市場化關聯。本文運用協整檢驗、Granger因果檢驗、多元GARCH模型研究瞭彙率與股價的互動關繫。研究結果錶明:在長期聯動性方麵,彙率與股價存在穩定的長期均衡關繫;在價格溢齣方麵,隻存在彙率到股價的單嚮引導關繫;波動溢齣方麵,彙市的波動遲擊會影響股市,而股市的波動對彙市無明顯影響。進一步的研究中,本文估算瞭彙率波動對股市開盤價及收盤價的影響大小。
수착중국자본시장개혁적심화,시장간적호동관계축보회귀시장화관련。본문운용협정검험、Granger인과검험、다원GARCH모형연구료회솔여고개적호동관계。연구결과표명:재장기련동성방면,회솔여고개존재은정적장기균형관계;재개격일출방면,지존재회솔도고개적단향인도관계;파동일출방면,회시적파동충격회영향고시,이고시적파동대회시무명현영향。진일보적연구중,본문고산료회솔파동대고시개반개급수반개적영향대소。
This paper presents an empirical study to investigate the relationship between exchange rates and stock prices in China. Based on Co-integration, Granger Causality Test and Multiple GARCH model, our finding indicates that the exchange rate is highly related to the stock price. The evidences show that long-term equilibrium exists; meanwhile, there is unidirectional spillover effect by foreign exchange market to stock market. In further research, we try to estimate the impacts on both opening price and closing price of stock prices from exchange rates.