Positive Research That The Exchange Rate Change Of RMB Influences To The Stock Market Of Our Country

Along with our country foreign exchange system reform deepening, the foreign exchange market frame preliminary formation, the exchange rate changes appear day by day to the national economic fluctuation, the financial tool price trend also had the more or less influence to the stock market. The investors' attention to the exchange rate undulation is enhancing day by day. At the same time, the stock market taking a part of the capital market, has many functions such as financing, optimizing resources disposition and acting the important role in the economic development. Therefore research between stock market and exchange rate has realistic significance.As a result of our country started to implement floating exchange rate system which was taking the market supply and demand as the foundation, referring to a basket currency and being controlled on the 21 of July, 2005; The RMB exchange rate no longer observes closely sole US dollar, forms the richer elastic RMB exchange rate mechanism. This RMB exchange rate change symbolized the Chinese economy enters new stage. Its profound significance will lie in which it will urge the Chinese a series of benefit patterns and the economic strategic adjustment and also similarly be able to affect the stock market. This article which is based on this exchange rate system adjustment, attempts to contrast and analyze the influence exchange rate change from the theory and the real diagnosis in the different time to the stock market.The positive analysis part of this article mainly applies ADF unit root test, Johansen Co-integration examination, VAR model, VEC model and some time series analysis methods to analyzing the mutual influence between the stock market and exchange rate. A stock (Shanghai stock market) and B stock (Shanghai stock market) uses date data from 1995 to 2006; H (Hong Kong HS China Enterprise index) uses monthly data from January in 1999 to December in 2006 as the usual stock income forecast research, the variable of VAR model mainly is the time series variable: First, it must carry on the unit root test to the time series variable; Second, separately get Co-integration between the exchange rate index and A, B or H in different stage which correspond with them; Finally, establish VAR model or VEC model according to Co-integration results and then study exchange rate change to Our country Stock market's influence.The innovation of this article lies in the comparatively systematic research on the relation between China Stock market and the exchange rate, in particular discussing the influence of the exchange rate to A, B and H separately from the correlative angle among data variables that in the domestic existing articles was hardly seen.It can be obtained according to the conclusion of analysis of this text: impacts on different stock markets of our country of the exchange rate change are different, among them influence weaker to A-stock market and B- stock market, but the reflection to the exchange rate change of H stock market is very strong; The impact on different stages of the same stock market of the exchange rate change is different too at the same time. It proves together the stock market of our country is not still a ripe market that the real example conclusion in the article adds the securitisation rate of our country. This is consistent with our stock market condition in present stage. But we can also see progresses in it. Regarding stock market's entity -corporations, how to evade the risk which the exchange rate fluctuation brings, as well as to make use of the income which the RMB exchange rate brings, this article finally gives certain policy to suggest.