股票回报率与汇率的关系——基于中国的实证
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引用本文:李亚琼,黄立宏.股票回报率与汇率的关系——基于中国的实证[J].经济数学,2010,27(3):1-8
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作者单位
李亚琼 (湖南大学 数学与计量经济学院,湖南 长沙410082) 
黄立宏  
中文摘要:考察了上海股票市场A股的回报率与人民币汇率的关系首先,经过单位根检验发现:股票回报率与人民币名义汇率是一阶单整。接着,利用Engle Granger协整检验得到:在5%的显著性水平下,股票回报率与人民汇率没有长期均衡关系,但不能够拒绝短期单方向的Granger因果关系,即人民币名义汇率是股票回报率的Granger原因
中文关键词:协整  Granger因果关系  人民币汇率  股票回报率  单位根检验
 
On the Relationship between Stock Returns and Exchange Rate in Chinese Stock Markets
Abstract:This paper investigated the relationship between RMB exchange rate and A share stock returns in China, in particular in Shanghai stock market. We find that both stock returns and RMB nominal exchange rate are integrated of order 1. The Engle Granger cointegration test was then performed, suggesting that there is not a long run equilibrium relationship between stock returns and RMB exchange rates at 5% significance level. However, strong evidence suggests that there is a short run uni directional causality relationship from the nominal exchange rate to the stock returns.
keywords:cointegration  Granger causality  RMB exchange rate  stock return  unit root test.
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