Empirical Study Of Spillover Effect Between The RMB Exchange Rate And Stock Price

The PBC reformed Exchange Rate Mechanism of RMB on July 21 th,2005. Since then,the problem that whether there is a certain internal relation between exchange rate and stock price has gain attentions from more and more scholars.In this paper,the relationship between exchange rate and stock price is explored in two aspects of theory and practice.In theory aspect,relationship between exchange rate and stock price is introduced and deduced base on investor heterogeneity.The relationship is analyzed in first moment and second moment. Some conclusions are drew,long-tern co-integration relationship between RMB exchange rate and Hushen 300 index exists in second and third sample range,but does not exist in first sample range;bidirectional causality exists between exchange rate and stock price in three sample ranges;the influence of RMB exchange rate on stock price is larger than that of the converse;resolutions of exchange rate to stock price and stock price to exchange rate are both very weak;there do exist certain overflow effect while this effect is unidirectional;obvious fluctuation spillover is observed in exchange rate yield fluctuation to Hushen 300 index yield fluctuation. At last some suggestions are proposed.