Empipical Study On Impact Of Renminb Appreciation Upon Industry Stock Indexof Listed Companies

On July 21, 2005 the people's bank of china announced Renminbiappreciation, and china started to implement the management floatingexchange rate system, which take the market supply and demand as thefoundation, accounting a basket currency to carry on the adjustment.Because of having finished the fixed rate of exchange nearly for 10 yearslong time, this history transform have taken a large impact to the entireChinese economy, domestic capital market in particular, and certainlyalso have make different influence on industry index of listed companies.About the influence of the Renminbi appreciation on industries oflist companies have many researcher already analysed from the theoryside. This paper mainly makes empirical study on the influence of theRenminbi appreciation on industries from the capital market. The sampledata of the article are 16 industries of the listed companies' return ofstock index, as well as the Renminbi exchange rate variation after it'sappreciation. The method used in the article is the event analysis method and the multi- variables GARCH model.Through empirical study of industry return of stock index and theexchange rate variation, the result of the paper is: First the conclusionobtained through the event study is that the industry under positiveinfluence on its index from the Renminbi appreciation is brewing alcoholand food, finance, chemical, commercials and chain store, tourist andhotel, electric appliance, metal, transportation and real estate, suffered thenegative effect is steel and iron, textile clothing, coal and petroleum, andforeign trade. Second the result obtained through the GARCH model isthat there is not statistically significant coefficients between industryreturn of stock index and the exchange rate variation, and that Renminbiappreciation has positive influence on stock index of finance, metal,transportation and real estate; and has the negative influence on that oftourist and hotel, the textile clothing and steel and iron. In summary, finalconclusion is the stock index of industries including finance, real estate,metal and transportation are benefit from the Renminbi revaluation, butthe industries including textile clothing, steel and iron has sufferednegative.