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1、對(duì)外經(jīng)濟(jì)貿(mào)易大學(xué)碩士學(xué)位論文EmpiricalResearchonExchangeRateandStockPricesofManufacturingCompanies姓名:陳婷婷申請(qǐng)學(xué)位級(jí)別:碩士專(zhuān)業(yè):金融學(xué)指導(dǎo)教師:周攬?jiān)?01105AbstractBothexchangemarketandstockmarketplayimportantrolesinacountry’Seconomicdevelopment.Theissueofwhetherstockpricesandexchangeratesarerelatedhasreceivedconsiderableatte
2、ntionaftertheEastAsiancrises.ThisarticleexplorestheinteractionbetweenRMB/USDexchangerateandmanufacturingindexusingdailydatafortheperiodfromAugust1,2005toAugust1,2010.MethodsbeingusedinthearticleincludePearsontest,ADFunitroottest,JohansencointergrationtestandGrangecausalitytest.Theempirica
3、lresultsshowbothlong-termcointergrationandshort-termrelationshipbetweenexchangerateandthestockindex.Theconclusionssupporttheflow-orientedmodelandrevealnegativelinkagebetweentwovariables.Bothgovernmentandcompaniesshouldpayattentiontotheseinnerconnections,maintainastablefinancialmarketandre
4、duceforeignexchangeraterisktotheminimumlevel.Keywords:Exchangerate,Stockindex,Cointergration1.1BackgroundIntroductionForeignexchangemarketandsecuritymarketaletwoveryimportantpartsoffinancialmarkets.Foreignexchangerateandstockindexarenotonlythepricesofthetwomajorfinancialmarkets,butalsorep
5、resentnationaleconomicpower,thustheremaybesomeinnerconnectionbetweenthem.TheissueofwhetherstockpricesandexchangeratesarerelatedhasreceivedconsiderableattentionaftertheEastAsiancrises.Thestockpriceistheweatherglassofnationaleconomy,whichfluctuateswithanysubtlechangesoftheentityeconomy.Exch
6、angeratemeasurestheinternationalpriceofcurrencypurchasepowerandaffectstheimportsandexportsabilitiesofacountryoraregion.Bothexchangeratemarketandstockmarketplayaveryimportantroleinacountry’Seconomicdevelopment.Ifstockpricesandexchangeratesarerelatedandthecausationrunsfromexchangeratestosto
7、ckpricesthencrisesinthestockmarketsCallbepreventedbycontrollingtheexchangerates.Similarly,ifthecausationrunsfromstockpricestoexchangeratesthenauthoritiesCallfocusondomesticeconomicpoliciestostabilizethestockmarket.IfthetwomarketsarerelatedtheninvestorsCanusethisinfo