Research On The Effects Of Exchange Rate Regime Reform On A-share Stock Price

On August 11,2015,the central bank proposed to change the formation mechanism of the middle price from RMB to US dollar,refer to the day before the exchange rate between the banks,combine the foreign exchange supply and demand and other foreign exchange,and then provide the c entral parity.To the Forex Trading Center.Although the “811 exchange reform” painted a heavy color in the process of internationalization of the RMB and provided policy support and preparation of RMB to join SDR.However,after the reform of the exchange rate,the RMB encountered devaluation pressure,meanwhile the stock market also fell sharply,and there occurs great financial risk.Therefore,it is very important to study the direct and indirect influence of the exchange rate system on the stock market and the internal transmission mechanism of the stock market.Under such background,this paper uses the event research method combined with the market model,according to the estimated window data to calculate the abnormal income of the stock market during the “811 exchange reform”,the abnormal income in the event window as an indicator of “811 exchange reform” to the stock price zone the positive effect or the negative effect of the study.At the same time,on the basis of studying the effect of exchange rate reform on the overall effect of the stock market,this paper analyzes the long-term effect of the exchange rate and the expected exchange rate on the stock price,that is,the “811 exchange reform” as the time point,cointegration test and granger causality test of the currency and the stock market linkage effect were analyzed.And the conclusion is that the “811 exchange reform” has caused a significant negative effect to the stock market,and the negative effect of “811 exchange reform” on Shenzhen is more significant than that of Shanghai market.There is a long-term equilibrium between exchange rate and stock price Relationship between the exchange rate and the stock price is not a long-term equilibrium relationship.After the “811 exchange reform”,the influence of the exchange rate on the A-share price of the guiding role is strengthen.The expected exchange rate can lead to A-share price.The conclusion of this paper provides a reference for policymakers to formulate relevant policies.At the same time,the analysis of the linkage effect between the stock market and the foreign exchange mar ket will help investors find the inherent law between the two.To help understand how the impact of the RMB exchange rate on the stock market is performed under different economic background,meanwhile it can help to enhance the investors' risk awareness and also strengthen the risk of investor hedging.