The Analysis Of The Exchange Rate On The Stock Price Based On The Three Factor Plus Usd Yield Model

Based on many existing theoretical analysis and empirical research,this paper discusses the internal logic of begins with the exchange rate and the stock market with historical main line,and then analyze empirical,explore and study the linkage effect and the trend between the exchange rate and the stock market from two angles.First of all,by the analysis of the internal logic between the exchange rate and stock price,this paper analyses the history and price trend between the stock history and the exchange rate change to explore the internal relationship.In the analysis of the influence path of the exchange rate change on stock price,the sample interval from 2001 to 2016 is used to observe the relationship between USDX and the stock market.It can be seen clearly that there is the different relation between USDX and the stock market.And this paper use a purely capital perspective to explain the relationship between USDX and the stock market.In addition,the analysis from six points of view further shows that there is a relation between the exchange rate and stock prices.Secondly,this paper uses empirical analysis to further support the analysis of internal logic.Adding a factor to the three factors proposed in the Fama and French model,the model consists of four factors,according to the characteristics of our market.This paper uses market yield,SMB,HML and USDX yield as four factors to explain changes in stock returns.Based on the analysis of the intrinsic logic between the exchange rate and the stock price,the model adopts 2014 as the segmented time point.Then,we can draw the conclusion that the exchange rate has an impact on the stock market and There is no simple linear relationship between the dollar yield factor and the traditional three factors,but there may be an interactive relationship.In addition,the significance of the dollar yield factor is different in terms of segmentation time and long-term.Finally,the conclusion of traditional economic theory and a large amount of research is the constant correlation or no correlation.But the innovation of this paper is to break the conclusion.This paper proposes that the correlation changes with the change of the internal relations between the exchange rate and the stock market,and analyses the reasons for the correlation change.