Research On The Impact Of RMB Exchange Rate Expectation And Sino US Interest Rate Difference On The Stock Price

With the further advance of Shanghai and Hong Kong through the accession to the SDR and the RMB currency basket,the domestic capital market and foreign capital markets more closely linked.In June 2015,China's stock market shocked sharply,the devaluation of the RMB exchange rate and RMB interest rate Increased volatility in the stock marketto a certain extent.How to keeptwo-way capital opening and promote the healthy and orderly development of the capital market in the process of opening up the capital is an important issue in the process of promoting the opening of capital account.In this paper,we introduce the exchange rate expectation variable,treat capital account openness as control variable.Based on the time series data of October 2006-September 2017,by establishing the vector autoregressive model,analysis the impact mechanism of RMB exchange rate expectations?Sino US interest rate difference?capital account openness and stock price.Moreover,due to the occurrence of financial events,the main variables have asymmetric effects on stock prices,and the impact on the stock market during the outbreak is significantly greater than that in the period of stable economic operation.The empirical results show that the RMB exchange rate expectation and Sino US interest rate difference will cause a negative change in stock price,and the degree of capital account opening will cause the fluctuation of share price and the overall stock price will change positively.In addition,in the gradualprocess of promotingthe capital market openness,excessive market liquidity caused by international capital flows into our country through various channels is the main reason for pushing up the share price rise,the domestic exchange rate expectations and Sino US interest rate difference go expansion will draw foreign capital inflows of into capital market,pushing up the stock price.Besides,due to the occurrence of financial events,the main variables have an asymmetric impact on the stock price,and the impact on the stock market during the crisis is significantly greater than the period of smooth economic operation.Therefore,it is believed that the exchange rate range should be set,the information disclosure mechanism and the interest rate regulation mechanism in China should be perfected.At the same time,China should strictly monitor the inflow of hot money and keep the capital account openness in an orderly and steady way.