Study On The Linkage Between Exchange Rate Volatility Of RMB And China's Stock Market Volatility

The foreign exchange market and the stock market as the two most important markets in the financial market,the fluctuation of the linkage between the two is always a hot issue in financial field.Since the 90 s of the 20 th century,many financial crises in emerging market countries outbreak,a significant feature is exchange and stock market collapse in succession,currency and stock market fluctuation linkage receives more extensive attention by scholars and the financial supervising and managing department.The marketing reform of finance is deeper,the volatility range of RMB increases,stock market has shown shock trend,the information transfer becomes more and more frequent between exchange market and stock market in our country,the linkage effect between them increases.Stochastic volatility models simulate the volatility of financial assets by using an unknown random process,it is widely used in the practical research of financial markets due to their good statistical characteristics.Therefore,we use MCMC method,make an empirical research on the linkage of volatility between exchange market and the stock market by establishing N-MSV model in this paper.In this paper,we first review the relevant theoretical research on the volatility linkage between the exchange market and the stock market,and summarize the research methods and conclusions.Then we introduce the concept and characteristics of financial market volatility,analyzes the theoretical models of the linkage between exchange market and stock market.On the basis of this,we elaborates the measurement model and the parameter estimation method of the linkage between the exchange market and the stock market.Finally,we make an empirical research on the linkage between exchange market and stock market volatility in our country,analysis the volatility spillover effect between them according to the change of exchange rate fluctuation range.The research results show that there is a two-way volatility spillover effect between China's exchange market and the stock market in the whole sample range,but the transmission route of the spillover effect is different in different exchange rate volatility.With the gradual increase of RMB volatility,both the volatility spillover effect from foreign exchange market to stock market and the volatility spillover effect from from stock market to foreign exchange market are weakened.