人民币升值对中国股市影响的实证分析

The Effects of RMB Appreciation on China's Stock Market

利用2005年7月21日中国汇率制度改革这个特殊事件,本文研究了人民币升值对中国不同种类股票收益率以及波动率的短期影响。结果表明:在"汇改"宣布后的第二天,所有类型股票均显示出了显著的正超常收益率;人民币升值后短期内(60天),A股和B股的累积超常收益率明显要比H股的大;人民币升值对沪市B股的影响比对深市B股的影响要大;人民币升值对于公司股票收益率的影响并未因公司所属行业的进、出口属性不同而呈现显著不同;在汇率制度改革及相应人民币升值后,A股和B股股票收益波动即风险减小了,然而H股的风险却增加了。这一系列结果基本符合标准的金融学理论的解释和预期,其似乎表明,我国股市正在趋向规范化。

The paper examines the short-term impact of Chinese currency（RMB） appreciation on stock returns and volatility of different classes of Chinese shares. The results indicate that all classes of Chinese shares exhib-it positive cumulative abnormal returns, but cumulative abnormal returns of A-and B-shares are much larger than the returns of H-shares. The impact of RMB appreciation on Shanghai B-shares is larger than that on Shenzhen B-shares, but the impact on share return does not show significant difference among different indus- try. The stock return volatilities of A- and B-shares decrease after the exchange rate system reform and RMB appreciation, but the risk of H-shares increase. These results are consistent with the explanations based on fi-nance and economics theories. It seems that China＇s stock markets are relatively more standardized than before.