The Exchange Rate's Influence On The Homogeneous Assets In Different Monetary System

The perspective of this article is the analysis of the exchange rate factor's influence on the overseas listed stocks'price.Firstly, based on the cross-listing companies, by using a simple analytical model of closed-arbitrage model, the article deduced that the stock price in devalued currency system should not be lower than the homogeneous stock in appreciation currency system with the theoretical analysis. And the factors which significantly influenced the stock price were: the yield of the homogeneous stock, the yield of exchange rate and the change of market friction.To prove this, the paper analyzed the sample of A-H shares. After controlling the yields of the corresponding A shares and the change of A-H premium, the RMB exchange rate had a significant positive influence on the yields of the H shares. Next, based on the Hong Kong Exchange, the article found that the overseas-listed foreign stocks were influenced by the exchange rate between the HK dollar and the currency of the monetary system which the company's main assets or revenues came from. By choosing the European companies, the mainland companies and the Hong Kong local companies, and introducing the dummy variables, the panel data analysis proved that the Euro exchange rate and the RMB exchange rate affected the price yields of the European companies and the mainland companies, respectively, after controlling the variables of value investment like E/P, B/P and CF/P.Finally, the article made the index of overseas-listed companies from Mainland and the index of overseas-listed companies from Europe. Compared the quarterly yields of the index with yields of the strategy of exchanging the currency first and then investing in the corresponding foreign capital market and found that the investors could reach the same level yield of international investment by investing the overseas-listed companies in the same capital market.