Research On The Dynamic Relationship Between QFII Investment, RMB Exchange Rate And Stock Price

China's economic reform and opening-up have been continuously promoted and the degree of marketization has been continuously improved recently.Since the reform of the exchange rate system was implemented in 2005,China has adhered to the direction of exchange rate liberalization,and the RMB exchange rate formation mechanism has been continuously improved.At the same time,China's capital projects are gradually opening up.The QFII(Qualified Foreign Institutional Investors),RQFII(RMB Qualified Foreign Institutional Investors),Shanghai-Hong Kong Stock Connect program,Shenzhen-Hong Stock Connect program and other channels have been created one after another.International capital is flowing into China's capital market at a faster pace.In June 2018,A-share market began to be included in MSCI Emerging Markets Index and MSCI ACWI Global Index.As a result,foreign investors can invest in China's capital market directly through the MSCI Index.As one of the most important channels for international capital inflow,QFII provides a very convenient channel for international capital inflow.Therefore,under the background of continuous improvement of RMB exchange rate formation mechanism and gradual opening of capital projects,it is of certain policy and practical significance to study the dynamic relationship.This paper first clarifies the background and significance of the topic,then introduces the current development situation of QFII,sorts out the reform process of QFII through tables and graphs,and points out the future development direction of QFII by comparing with other connectivity systems.The second part firstly sorts out and reviews the domestic and foreign literatures from five aspects,then introduces the relevant theories of international capital flow.Finally,this part shows the specific formula which represents the dynamic relationship among international capital flow,exchange rate and stock price,through introducing the international capital flow model and the stock market and the foreign exchange market dynamic model,and does further analysis on the influencing mechanism.The third part is the empirical analysis.This part uses the data between August 2005 and April 2018.This part firstly do impulse response analysis and variance decomposition analysis based on VAR model,and then introduces TVP-SV-VAR model to analyze the time-varying characteristics of stochastic volatility and the time-varying characteristics of the impulse response in different time and different lead time.Finally,this part further verifies the intermediary effect of RMB exchange rate.Through theoretical analysis and empirical analysis,this paper finds that the relationship presents obvious time-varying characteristics.At the same time,in different time and under the background of different policies,the degree of the influences is different.Then this paper puts forward a series of policy suggestions,such as improving QFII management mechanism,promoting the reform of RMB exchange rate,accelerating the process of RMB internationalization,establishing an early warning system for the short-term capital flows,and promoting the high-quality development of the stock market.