汇率与股价波动研究——基于中国与日本高频数据的ARCH检验

RMB Exchange Rate and Stock Price Index Volatility

次贷危机发生前,汇率与股指存在ARCH效应,且均有不对称信息的冲击,波动存在持续性的影响;次贷危机发生后,汇率与股价都不存在ARCH效应,系统性风险和非系统性风险暴露出来使得汇率对股市的波动影响降低,从而促进投资者风险得到有效对冲。

Before subprime mortgage crisis, it exists ARCH effects, asymmetric information shock and volatility persistence ; after subprime mortgage crisis, it disappears ARCH effects, system and unsystematic risk exposure to reduce influence from exchange rate to stock price, and improve investors risk hedging effectively.