Title: Empirical Study on Relations between RMB Exchange Rate and Stock Prices
Abstract:The paper analyzes the relationship between the central parity of the RMB exchange rate against the US dollar and the closing prices in Shanghai Stock Exchange composite index during the period of Jan...The paper analyzes the relationship between the central parity of the RMB exchange rate against the US dollar and the closing prices in Shanghai Stock Exchange composite index during the period of January 2nd,2001 to December 28th,2007.With the reform of RMB exchange rate regime as the line of demarcation,the period is divided into two phases,i.e.from January 2nd,2001 to July 21st,2005 is the first phase and from July 21 st,2005 to December 28th,2007 the second phase.The conclusions are as follows:first,after the implementation of the managed floating RMB exchange rate regime,the RMB exchange rate against the US dollar exerts a noticeable influence on the Shanghai Stock Exchange composite index,there exists a kind of co-integration relationship between them.Second,they have a significant two-way volatility spillover effect;they are asymmetric.Read More
Publication Year: 2008
Publication Date: 2008-01-01
Language: en
Type: article
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