| In recent years,the market information of all countries in the world has basically been interconnected,and emerging technologies in the financial field are emerging one after another.With the deepening of the degree of financial liberalization in various countries and regions,the research on a national capital market often cannot ignore the development of the whole international environment.Under the background of this era,the price of financial instruments is not only subject to traditional traditional factors.The impact of various macro factors on the capital market of our country has gradually emerged,and the relationship between the foreign exchange market and the stock market is becoming more and more closely.This paper mainly uses R and Eviews software to analyze correlation through time series.First,data preprocessing and mapping,and the results are analyzed and compared briefly.Second,we do unit root test for data,achieve stability by first order difference,and use cointegration test to judge whether there is cointegration relationship between them.Third,after determining the cointegration relationship,the article establishes the VAR model and obtains the specific expression of two variables.Fourth,the heteroscedasticity test of the model is established,and the conclusion is that there is heteroscedasticity.We modify the model by weight and check the revised model again.At this time,there is no heteroscedasticity.Fifth,the Granger causality test is done to the variables,and it is concluded that there is a mutual influence between the two variables,and the effect of the change of exchange rate on the Shanghai composite index is obtained through the function diagram of the impulse response.Sixth,record the absolute value of the correlation coefficient of different plates and foreign exchange data,cluster the 30 reserved plates and stratified the different plates according to the degree of influence,so that the investors can get the best portfolio in the change of exchange rate. |
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