股票价格与汇率之间的动态关系--基于中国市场的经验分析

The Dynamic Relationship between Stock Prices and Exchange Rates——Empirical Evidence from China

本文以利差为外生变量,基于向量自回归多元EGARCH模型和日数据,对我国股价与汇率之间的动态关系进行了实证研究和深入分析。研究发现:在价格溢出方面,只存在外汇市场到股票市场短期单向引导关系,但利差对股价和汇率均存在价格溢出效应;在波动溢出方面,股票市场对外汇市场存在非对称的波动溢出效应,而外汇市场对股票市场只存在对称的波动溢出效应,利差的变化对股票市场和外汇市场都不存在波动溢出效应;与国内相关研究结论不同的是,我们没有发现股价与汇率之间存在长期均衡关系。

This paper,taking the interest differential as an exogenous variable,based on VAR- MEGARCH model and daily data,empirically investigates the dynamic relationship between stock prices and exchange rates in China. As for price spillover effect,the evidence suggests that changes in exchange rates have short-run impact on future changes of stock prices and not vice versa,but the interest margin has price spillover effect for both stock prices and exchange rates. Regarding volatility spillover effect,our findings indicate that the volatility spillover effect from stock markets to foreign exchange markets is symmetric and the volatility spillover effect from foreign exchange markets to stock markets is asymmetric ,in addition,there is no volatility spill- over effect from interest differential variation to both markets. In contrast with early domestic findings ,we found that there are no long-run equilibrium relationship between stock prices and exchange rates.