摘要
随着人民币汇率弹性的加大,汇率与股价的关联效应开始显现出来,有可能导致外汇市场、股票市场乃至整个金融市场的紊乱,所以两者的关联研究对于整个金融市场的安全与发展具有较大的现实意义。通过对人民币各种汇率与股价的逐日数据所作的ARCH效应检验,得出相应的GARCH和EGARCH模型,并证明人民币币值与股价呈反向关系。
With the increment of RMB exchange rate's flexibility, the relationship between RMB exchange rate and stock price comes out. The research on this relationship has larger practical significance to the safety and development of the whole financial market. Through ARCH tests of daily data, the corresponding ARCH models are set up, and the reverse relationship between RMB valuta and stock price is testified.
出处
《集美大学学报(哲学社会科学版)》
2006年第1期72-75,共4页
Journal of Jimei University:Philosophy and Social Sciences
关键词
汇率
股价
ARCH
exchange rate
stock price
ARCH