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股价与汇率波动关系研究评述 被引量:6

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摘要 大多数学者的研究发现汇率和股价之间存在某种关系,但是对于它们之间是呈正相关还是负相关存在着差异。两者之间存在Granger因果关系,却在谁领先谁上存在着分歧,而且在不同的研究样本中会呈现出不同的关系。对两者之间是否存在协整关系的研究结论也存在差异。大部分学者认为金融的自由化会加强两者之间的联系,这意味着加强金融市场的控制、政府的干预等,能够对两者产生显著的影响。
出处 《经济学动态》 CSSCI 北大核心 2010年第3期120-125,共6页 Economic Perspectives
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参考文献20

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同被引文献76

  • 1张卫国,胡彦梅,陈建忠.中国股市收益及波动的ARFIMA-FIGARCH模型研究[J].南方经济,2006,35(3):108-112. 被引量:20
  • 2吕江林,李明生,石劲.人民币升值对中国股市影响的实证分析[J].金融研究,2007(06A):23-34. 被引量:79
  • 3Sims C A. Macroeconomics and reality [ J ]. Econo- metrica, 1980,48( 1 ) : 1-48.
  • 4Kutty G. The relationship between exchange rates and stock prices:The case of Mexico L J ]. North Ameri- can Journal of Finance and Banking Research,2010, 4(4) :1-12.
  • 5Nieh C C, Yau H Y. The impact of Remninbi appre- ciation on stock prices in China[ J ]. Emerging Mar- kets Finance & Trade, 2010,46 ( 1 ) : 16-26.
  • 6Yau H Y, Nieh C C. Testing for cointegration with threshold effect between stock prices and exchange rates in Japan and Taiwan [ J ] . Japan and the World Economy, 2009,21 ( 3 ) :292-300.
  • 7Aydemir O, Demirhan E. The relationship between stock prices and exchange rates:Evidence from Tur- key [ J ]. International Research Journal of Finance and Economics, 2009 ( 23 ) : 207- 215.
  • 8Zhao H. Dynamic relationship between exchange rate and stock price : Evidence from China [ J ] . Research in International Business and Finance, 2010,24 (2) : 103-112.
  • 9Pan M S, Fok R C W, Liu Y A. Dynamic linkages between exchange rates and stock prices:Evidence from East Asian markets [ J ]. International Review of Economics & Finance, 2007,16(4) :503-520.
  • 10Ning C. Dependence structure between the equity mar- ket and the foreign exchange market: A copula ap-proach [ J ]. Journal of International Money and Fi- nance, 2010, 29 ( 5 ) : 743- 759.

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