Research On China's Concept Stock Price Considering Exchange Rate Factors

At the beginning of 2018,the hottest topics in the Chinese securities market overseas unicorn enterprises returned to the domestic capital market,the country introduced a strong policy to encourage the return of innovative companies that meet the national strategy,master core technology,and high market recognition among Chinese companies listed overseas.Domestic capital markets include Baidu,Alibaba,Tencent,Jingdong,Sina,Sohu and other highly-evaluated and innovative unicorn enterprises.In fact,with the continuous development and growth of the Chinese economy,and the sustained and stable economic environment in China,a large number of foreign funds are full of investment enthusiasm for Chinese enterprises,which has spawned a large number of Chinese companies listed overseas to finance and capitalize on the gradual growth of the capital market.With the gradual increase in the number and influence of these companies,the group of Chinese concept stocks(short for investors' stocks of overseas listed Chinese companies)has gradually taken shape and attracted more and more attention from investors.The country's move in 2018 reflects the government's affirmation of the development of China's stock prospects and the expectation that China's general stocks will return to the domestic capital market and boost the domestic economy.It will also increase the visibility of China's stocks.The study of Chinese concept stocks will More and more important practical guidance.This article mainly studies the relationship between the price of Chinese concept stocks and the exchange rate between China and the United States,and adopts research methods including theoretical analysis and empirical test.This paper analyzes the mechanism of mutual transmission between stock price and exchange rate in the theoretical analysis section,and studies the influence relationship between the two from the theoretical perspective.Based on theoretical analysis,this paper selects the capital asset pricing model as an entry point to study the relationship between China's concept stocks and the Sino-US exchange rate.From the single-factor classical model to the multi-factor Fama-French model,a four-factor pricing model was introduced by introducing exchange rate factors to study the relationship between Chinese concept stocks and Sino-US exchange rates.The measurement regression models mainly used in this paper include the OLSregression model,AR(2)regression model,and GRACH(1,1)regression model,and construct the concept stock excess return rate as an alternative variable to the stock price,and continue to use better models.Regression analysis.In order to verify whether there is an inter-influence relationship between the exchange rate factor and the price of the Chinese concept stocks,a four-factor pricing model consisting of exchange rate factors was introduced on the basis of the Fama-French three-factor model.The results showed that the regression model was GARCH(1,1).The best fit in the results.The regression results show that when the exchange rate excess return increases by 1 unit,the excess return rate of Chinese concept stocks will fall by 0.51 units.The goodness of fit of the regression reached 77.40%,indicating that the model has strong explanatory power.The experimental results show that the exchange rate changes have a significant impact on the stock prices of Chinese concept stocks.The appreciation of the renminbi will increase the price of Chinese concept stocks.On the contrary,if the renminbi depreciates,the price of Chinese stocks will decline.Thus,as investors of Chinese concept stocks,taking into account the actual background of Chinese companies' listing in the United States,besides focusing on the fundamentals of the stock targets itself,we should also pay close attention to the volatility of the exchange rate market if the exchange rate fluctuates significantly.It will cause large fluctuations in the stock price,and it is necessary to do a proper hedging or hedging measures.