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1、對外經(jīng)濟(jì)貿(mào)易大學(xué)碩士學(xué)位論文EmpiricalResearchonExchangeRateandStockPricesofManufacturingCompanies姓名：陳婷婷申請學(xué)位級別：碩士專業(yè)：金融學(xué)指導(dǎo)教師：周攬月201105AbstractBothexchangemarketandstockmarketplayimportantrolesinacountry’Seconomicdevelopment．Theissueofwhetherstockpricesandexchangeratesa
2、rerelatedhasreceivedconsiderableattentionaftertheEastAsiancrises．ThisarticleexplorestheinteractionbetweenRMB／USDexchangerateandmanufacturingindexusingdailydatafortheperiodfromAugust1，2005toAugust1，2010．MethodsbeingusedinthearticleincludePearsontest，ADFu
3、nitroottest，JohansencointergrationtestandGrangecausalitytest．Theempiricalresultsshowbothlong-termcointergrationandshort-termrelationshipbetweenexchangerateandthestockindex．Theconclusionssupporttheflow-orientedmodelandrevealnegativelinkagebetweentwovaria
4、bles．Bothgovernmentandcompaniesshouldpayattentiontotheseinnerconnections，maintainastablefinancialmarketandreduceforeignexchangeraterisktotheminimumlevel．Keywords：Exchangerate，Stockindex，Cointergration1．1BackgroundIntroductionForeignexchangemarketandsecu
5、ritymarketaletwoveryimportantpartsoffinancialmarkets．Foreignexchangerateandstockindexarenotonlythepricesofthetwomajorfinancialmarkets，butalsorepresentnationaleconomicpower,thustheremaybesomeinnerconnectionbetweenthem．Theissueofwhetherstockpricesandexcha
6、ngeratesarerelatedhasreceivedconsiderableattentionaftertheEastAsiancrises．Thestockpriceistheweatherglassofnationaleconomy,whichfluctuateswithanysubtlechangesoftheentityeconomy．Exchangeratemeasurestheinternationalpriceofcurrencypurchasepowerandaffectsthe
7、importsandexportsabilitiesofacountryoraregion．Bothexchangeratemarketandstockmarketplayaveryimportantroleinacountry’Seconomicdevelopment．IfstockpricesandexchangeratesarerelatedandthecausationrunsfromexchangeratestostockpricesthencrisesinthestockmarketsCa
8、llbepreventedbycontrollingtheexchangerates．Similarly,ifthecausationrunsfromstockpricestoexchangeratesthenauthoritiesCallfocusondomesticeconomicpoliciestostabilizethestockmarket．IfthetwomarketsarerelatedtheninvestorsCanusethisinfo
