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A Granger Causality Test Of CNY Exchange And Shanghai Composite Index

Posted on:2017-01-23Degree:MasterType:Thesis
Country:ChinaCandidate:G D WangFull Text:PDF
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With the expectations of the Fed is likely to up its interest rate in 2015, foreigner capital went back to USA, reducing foreign exchange reserves, and the depreciation of RMB to USD, meantime, the Shanghai Composite Index has experienced the peak on may, and then drop as fast as possible. The unusual economic event let us remind of those suffered country such as Thailand, South Korea, Japan, whose stock price felled sharply because of the depreciation of exchange rate during Asian financial crisis. The relationship between the exchange market and stock market means a lot, such as to promote the stability of overall macroeconomics, the in dependence of monetary policy, and the economic growth. All in all, the stock price only as a representatives of domestic asset prices, we should be caution this.This paper only selects data in 2013-2015, for instance, the stock price and exchange rate of CNY. In the beginning, an brief introduction of exchange rate and stock price, and then based on the theory that scholars has already studied, mainly in four angle, such as the new open macroeconomic, the microscopic view of financial market, modeling between market data, and those related data.In this paper, we use the linear correlation analysis, co-integration test, Granger causality test, empirical studied the CNY against the US dollar exchange rate and Shanghai composite index correlation, based on that data in the year of 2013-2015, the CNY against the dollar exchange rate and Shanghai composite index is positive correlation, stocks price has one-way causal relationship with exchange rate.
Keywords/Search Tags:Exchange Rate, Stock Price, Granger Test
PDF Full Text Request
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