A Study On The Correlation Between Exchange Rate Changes And Stock Market Prices In China

Exchange rate is one of the core variables of the open economy,which has an important influence on a country's national economy and foreign economic relations.From a macro perspective,the exchange rate is an important lever to regulate the foreign trade market,guide the international capital flows affect the domestic price level;from the micro level,the exchange rate of foreign trade directly affects the company's assets,performance and decision.It is helpful for us to understand the trend of macroeconomic situation and measure the exchange rate risk faced by companies,industries and countries.Since twenty-first Century,the world trade development began to enter a period of rapid development,especially for China,since the accession to the WTO,in the economic development of our country's foreign trade and economic component is more and more serious,the year 2015,China's import and export trade difference amounting to 3 trillion and 680 billion yuan,achieve the history the peak atthe end of 2015,China's foreign exchange reserves amounted to 3 trillion and 330 billion US dollars.In the past two years,with the adjustment of supply side reform and the upgrading of industrial structure,the advantage of China in the foreign trade market is gradually losing,and the fluctuation of foreign trade market will be more severe.Since 2005,China formally introduced to the market supply and demand as the foundation,reference to a basket of currencies to adjust,managed floating exchange rate system,China's foreign exchange market volatility along with the development of foreign trade transaction became more and more active,more and more foreign counterparties,foreign exchange trading tools are more and more abundant,daily turnover more and more high.Foreign exchange market exchange rate volatility is also growing,the impact on China's capital market has become increasingly strong.Compared with foreign mature stock market,China's stock market started late,there are many trading system needs to be improved.From a series of stock market volatility in China can reflect the self constraint of the main body of our country market and the interaction mechanism has not yet formed in our stock mechanism is not perfect,the lack of hedging mechanisms,the risk resistance is relatively poor,therefore,in the process of the reform of exchange rate mechanism,to effectively control the exchange rate risk impact on the domestic stock market the stable development of economy and finance.In recent years,China's stock market carried out a series of reform,opening up of China's stock market continues to increase,the QDII and QFII system of continuous improvement,and the correlation between China's stock market and foreign exchange market is strong.The empirical study finds that:(1)when China's foreign exchange market is in the space of exchange rate appreciation(the exchange rate return of foreign exclhange market is negative),the change of exchange rate will affect the stock market price.But China's foreign exchange market in the exchange rate depreciation space(exchange rate return rate series is the foreign exchange market),foreign exchange market exchange rate changes have no effect on the stock market price changes,trimely impact sensitivity is not high;(2)in the low quantile level(below 0.5),most of the sub the market stock price changes are related to changes in the exchange rate and the foreign exchange market,in the high quantile level(below 0.5),most of the sub industry market stock price movements are not related to changes in the exchange rate and foreign exchange market.The regression coefficient of the healthcare industry and information technology industry in all quantiles circumstances are not significant,indicating that based on the quantile regression model,influence the health care industry and information technology industry stock price changes is not affected by changes in the exchange rate of foreign exchange market.