The RMB Exchange Rate And The A-share Market: Consistent And Deviating

With the development of economic globalization,financial globalization and the development of financial liberalization,the mutual relation and influence between national financial markets increasingly deepened.Financial assets market price fluctuation besides influenced by its own factors,more and more vulnerable to changes in the price of other financial assets.As the foreign exchange market and stock market prices,the exchange rate and stock price also have some connection.Research of the relationship between them have some benefits.First,it can provide the reference for the central decision-making body when making relevant policies to stabilize financial markets and reduce systemic risk;Second,it can help multinational companies to better manage foreign exchange risks;Finally,it is helpful for professional investors to make asset allocation,maximizing yield under the same level of risk.Therefore,research of the relationship between exchange rate and stock market is of great significance.In the process of the financial market reform and development of our country,the domestic financial market and the external market contact is becoming more and more strong.After two exchange rate reform and the RMB currency volatility is more and more large,the relationship between shock market with RMB rate tend to be more closely,they often make interest rate,the balance of payments,money supply,international capital flow as channels to influence each other.In this paper,through theoretical-empirical logic main line,first by combing discusses exchange rate and stock decision theory,reviews the research on the relation between exchange rate and stock price classic explain about the traffic model and securities orientation model,At the same time the paper introduces the study on related in macro and micro angle measuring mathematical model was established.Then uses the macro and micro analysis method of combining the transmission mechanism of exchange rate and stock price fluctuation is analyzed.Currency fluctuations mainly through the balance of payments,money supply and the international capital flows to affect the share price.And share price volatility mainly through the portfolio and money demand for intermediary influences exchange ratesIn the empirical phase,using RMB against the dollar,the Shanghai A-share index,money supply,interest rate,the number of international "hot money",and net exports to build the VAR model to carry on the empirical analysis,Through stationarity test,cointegration test,granger causality analysis and impulse response analysis.Through theoretical and empirical analysis,the following conclusions:In the open economic environment,there is a bidirectional negative correlation relationship between exchange rate and stock price,And they through certain channels intermediary to conduction respectively,But the exchange rate and stock market price linkage mechanism and effect mainly by a country's financial market maturity and the open degree of economy.The empirical results show that between the RMB exchange rate with stock market,there has a certain correlation,but some conduction intermediary is difficult to give full play role between them.This is mainly because marketization of exchange rate and stock pricing mechanism in our country at present the distortion and other factors.Raising interest rates expected dollar,and increasing capital outflows have a significant impact on Chinese capital market,we should plan ahead to deal with.Finally,combined with the present situation in our country,puts forward coordinated and healthy development of the foreign exchange market and stock market in China to realize the benign interaction of policy recommendations.