| Since 2005,the marketization of the exchange rate formation mechanism has been deepened.In 2005,not only the exchange rate formation mechanism reform was carried out,but also the split share structure reform was carried out.In the "811 exchange rate reform" in 2015,the exchange rate formation mechanism was further marketized.From the perspective of the stock market,the financial industry plays an important role in the national economy and is the lifeblood of a country’s economy.Moreover,the financial industry has a high correlation with the stock market.The trend of the stock index of the financial industry and the stock index of a share are very close.In addition,compared with the real economy,the financial industry is greatly different in the transmission mechanism and logic principle affected by the change of exchange rate.Compared with the real economy,the financial industry is not only directly impacted by the change of exchange rate,but also impacted by the change of operating conditions of the real economy.Moreover,some companies and enterprises in the financial industry will inject capital or hold shares in some enterprises in the real economic sector,which will also have an impact on the overall operation of the financial industry.In addition,many financial institutions in China,such as banks,hold a large number of foreign currency assets.The change of RMB exchange rate will change the value of foreign currency assets,so it will affect the stock price of related financial enterprises.It is of great significance for the financial industry and the whole stock market to study the influence of exchange rate on the stock index of financial industry.This paper takes "721 exchange rate reform" in 2005 and "811 exchange rate reform" in 2015 as time nodes,and divides the daily data of 2005-2019 into two time periods to compare and analyze the impact of exchange rate changes on the stock price of financial industry under different exchange rate formation mechanisms.By using the methods of theoretical analysis and empirical analysis,referring to the previous research of flow oriented model and stock oriented model,this paper theoretically deduces the channel and mechanism of the impact of exchange rate changes on the stock price of financial industry,and then empirical analysis part quantitatively studies the linkage between exchange rate and stock index of financial industry:ADF test is used to test the data in two time periods,and The results show that all of them are time series of first-order single integration;through the co integration test,it is concluded that the exchange rate and the financial industry share price have a long-term co integration relationship in the time interval before and after the 811 exchange rate reform,and there is no long-term co integration relationship between the exchange rate and the financial industry share price after the 811 exchange rate reform;through the Granger causality test,it is concluded that both time intervals before and after the 811 exchange rate reform can be obtained Conclusion:the exchange rate between us dollar and RMB is Granger’s reason for the stock index of financial industry;the conclusion of impulse response analysis is that the stock price of financial industry has different degree and direction response to the exchange rate of RMB and a standard deviation information of itself;the conclusion of variance decomposition is that the contribution rate of exchange rate change to the stock price change is low,but it shows an increasing trend.Finally,according to the results of theoretical and empirical analysis,from the perspective of the government,the financial industry and investors put forward reasonable policy recommendations to promote the healthy development of the financial market,and also provide theoretical reference for investment activities. |
PDF Full Text Request