Study On Stock Portfolio Hedging Exchange Rate

As one of the "three carriages" of the national economy, the import and export play a very important role in the development of China's national economy. However, in the process of internationalization of the RMB, the dollar accounts for the dominant position in the invocing and acounting in the foreign trade of our country. This makes the import and export trade of Chinese enterprises directly affected by the RMB exchange rate, which will affects the fundamental interests of China's enterprises and do import and export trade. Therefore, there is great significance to study the hedging of foreign exchange risk.Based on the literature review, this paper reviews the linkage relationship between stock market and foreign exchange market. Although the countries in the literature study, the selected data and the time are different, the conclusion is different, but the correlation between them has been recognized by most scholars. Secondly, as judged by the linkage relationship between stock market and foreign exchange market, and with stock to hedge the exchange rate risk, this paper reviews the modeling process of traditional conditional heteroskedasticity model, VAR-MGARCH-BEKK model and lasso-LAR method. Then reuse VAR-MGARCH-BEKK model empirical analysis of the renminbi against the dollar exchange rate and the domestic stock between spillover effects; and to evaluate the effect of lasso-LAR methods to construct a number of domestic equity portfolio contra asset exchange rate volatility risk based on. The results of the study show that the stock portfolio hedge the exchange rate can be well hedged RMB appreciation of the loss of export enterprises caused by. And pointed out that this kind of stock combination can also be used to hedge the loss caused by the devaluation of the RMB.