| The foreign exchange market and the stock market, as the two important parts of financial market, have important influences on the development of the financial market, even the national entire economy. Since the nineteen seventies, every country began to implement a floating exchange rate system, foreign exchange market and the stock market is much more closely linked to each other. Studying the relationship between the exchange rate and the stock market has become a hot spot to the academicians. Before1994, China had implemented a fixed exchange rate system and dual exchange rate system, long-term pegged to the US dollar and the strict foreign exchange controls lead to China’s exchange rates and stock prices have no significant relationship between each other. After the exchange rate system reformed in July21,2005, China began to implement a floating regime that based on market supply and demand, referenced to a basket of currencies and management. Mechanism exchange rate in China has gradually formed. At the same time, as China’s share reform and financial capital project gradually liberalized, foreign exchange market and the stock market is gradually strengthen contact, that they get closed through the conduction effects of macroeconomic variables. The interaction relationship between the stock market and foreign exchange market is conducive to the prevention of foreign exchange risk, promote the formation of China’s exchange rate mechanism, maintain financial market and macroeconomic’s stability, having a strong practical significance.During my research, I drew lessons from scholars of methods for mature market research and combined with China’s true fact to be adjusted, and reflects the differences by the empirical research and theoretical of the mature market economy. Firstly, elaborated systematically the development history and current situation of China’s exchange rate system and the stock; secondly, depth analysis on the mechanism of exchange rate and stock price and based on the research framework, I estimate the fitted model and the empirical research. Using daily data from June21,2010to March7,2013, doing empirical research of the impact on the exchange rate and the stock market of our country, analysing the current macroeconomic situation and macroeconomic policy which combined China’s actural situation, I drew the conclusion and puts forward the corresponding suggestions.This thesis consists of five parts. The first chapter, including introduction, this part introduces the research background and significance, domestic and international literature review, research purpose, ideas, methods and the innovation and deficiencies.The second chapter, including the basis theory of the interaction between exchange rate and stock market. First, the classical theory of exchange rate and stock price interaction, including flow-oriented model and stock oriented theory model. The former mainly discuss that the dynamic changes of the stock market under the impact of currency current account and trade balance, which consider the changing of exchange rate will affect the international competitiveness and a country’s international balance of payments and daily trade. It will ultimately affect the country’s stock market. The leading stock exchange rate is between them; the stock guide theory model has dynamic influence on the exchange rate through the capital and financial account of changes in stock prices. This theory considers that the exchange price depends on the foreign exchange market supply and demand, is the basis theory of the exchange rate and stock’price that are bidirectional and reciprocal causation to each other. Secondly, the system of exchange rate mechanism and deciding elements to stock market, including money supply mechanism, interest mechanism, the money market of import and export trade mechanism, mechanism, price mechanism, the portfolio expected psychological mechanism.The third chapter, including the development of China’s exchange rate system and the stock market. Analysis from the formally established RMB exchange rate system in1949, China had experienced a fixed exchange rate system, dual exchange rate system, floating exchange rate system in the periods. Along with the change of exchange rate system, the exchange rate system in China has also changed, from the transformation of the traditional auction trading system to the trading system which integration the market maker trading and the auction system’s advantages, in line with the international development trend of the foreign exchange market trading system. In addition, China’s stock market is a new market that constantly developed in the emerging market transition to the market economy, the main body of our country market’s self-discipline and restraint mechanism has not formed yet, our stock mechanism is not perfect, lack of hedging mechanisms, risk resistance capacity is relatively poor, therefore, in the process of reform the exchange rate mechanism, we requires effective control of exchange rate risk on the domestic stock market.The fourth chapter, the empirical study on the effect of exchange rate changes on stock market. First of all, using cointegration test, Granger causality test, impulse response analysis, variance analysis examines the linkage effects of overall changes in exchange rates in China and China’s stock market from June21,2010to March7,2013, the RMB against the dollar, the euro, pound, yen, Hong Kong dollar nominal, the benchmark price of exchange rate Shanghai A shares, B shares index closing price seven variable data for empirical analysis, it is concluded that the whole interaction between exchange rate and stock market in china. Secondly, the use of the exchange rate of Jorion capital markets model changes influence on stock returns in different industries, industry classification by the China Securities Regulatory Commission promulgated2010"listing Corporation" industry classification guidance, selection of Agriculture Forestry Animal Husbandry and fishery, mining, utilities, construction, transportation, information technology, wholesale and retail, Finance and insurance, the real estate industry, social services, communication and culture, food and beverage, textile and garment, wood furniture, paper printing, petrochemical, electronic industry, metal and nonmetal, mechanical equipment, biological medicine, consists of twenty industries index, forming Jorion model establishment of capital market expansion. Get the conclusion through the empirical analysis, in the face of exchange rate fluctuations, different industries have difference degree of risk exposure in foreign exchange because of their different industry attributes. And the growth rate of industry stock returns is also different.Theoretical and empirical research on comprehensive full text, the fifth chapter summarizes the conclusions of this study:Analysis from the overall perspective, the exchange rates and stock prices in China of RMB against the U.S. dollar, Hong Kong dollar have a significant correlation. From a long-term perspective, there is a positive correlation between the long-term appreciation of the RMB exchange rate and the stock market, which is accompanied by rising stock prices; in the short term, the impact of exchange rate on the stock price has a negative effect; conduction from the direction of view, there is a one way effect of the exchange rate to the stock market relations. Used the classical theory to analysis the macroeconomic situation and policies of China, consider that China’s foreign exchange market and the stock market mechanism in the long-term economic significance, but in short-term, because of the monetary policy, short-term economic policy, psychological expectations impact and lead to distorted, but in the end, it will be a long-term equilibrium relationship.Analysis from the industry point, with financial hedging and trading hedge mechanism industries, the industries protected by national policies, industry, monopoly industries, these kinds of industries are not sensitive to the change of exchange rate; RMB appreciation on export-oriented industries have the negative influence, but has a positive effect on material imports industry. And also has negative impact on China’s real estate industry short-term exchange rate. Each industry exposure to foreign exchange risk is also different, but on the whole industry in China foreign exchange risk exposure level is not high, therefore, this paper argues that the impact of exchange rate and the overall stock market short-term are similar, because China’s exchange rate floating space is small, capital market opening degree is relatively low, short-term effects of exchange rate on the stock price is relatively little.Based on empirical research and theoretical analysis, this paper puts forward the corresponding countermeasures:in the formation of the exchange rate mechanism, government need to relax the restrictions on foreign exchange transactions, increase foreign exchange products, foreign exchange reserve diversification management; in the form of stock market foreign exchange risk prevention mechanism, early warning system should be established to cross-border capital flows., the establishment of a multi-level capital market system can strengthen the stability of the stock market; improve the ability to respond to exchange rate risk, accelerate the adjustment of industrial structure, technological innovation, change our traditional that competing on price, the rational use of various foreign exchange hedging tools. In this paper, the advantages include the following:First, in the process of selection of data, this paper chooses the data after United States sub-loan crisis ended, the gradual recovery in the global economy. During the economic crisis, due to the influence of external factors, the stock market fluctuate greatly, exchange rate policy strictly controlled by governments; that in the new era, under the new situation of the oscillation amplitude of China’s stock market is relatively small, steady appreciation of the RMB. Therefore, eliminating abnormal interval data, the choice of recent data is more representative.Second, in the study of industry level, foregone researches is to establish the model general to analysis in different sectors of the foreign exchange risk exposure problem.In fact, although between exchange rate and stock price has an overall one-way running direction, but for different industries, the causal relationship between exchange rate and stock price does not necessarily exist, because each industry faces the different risks of exchange rate transmission mechanism. So we can not take that exchange rates have significant consequences on the stock price for granted. Therefore, the establishment of Jorion extension model according to the order of causality test and VAR model of vector extension of model selection and the lag period. After determining the model, compared in the classification standard of exchange rate in effect analysis of different industries, through the comparison of different industries risk exposure problem, aiming to provide appropriate advice on economic policy, industry policy, company policies, has practical significance.Third, is to explain the empirical results, which are based on the classical theory, combined with the actual economic situation in China. From the period of China’s foreign exchange market, the stock market’s period, China’s macroeconomic situation, the current policy objectives, the empirical results comprehensive analysis of the competitiveness of enterprises in China, and puts forward corresponding suggestions, provide a theoretical basis for portfolio investors reform, monetary policy, the promoting of RMB exchange rate mechanism. |
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