汇率与股价波动:基于中国与日本高频数据的ARCH检验

RMB Exchange Rate and Stock Price Index Volatility——Empirical Research from China,American and Japan High Frequency Data by ARCH Tests

立足次贷危机所产生的结构性影响,采用ARCH模型对人民币汇率、上证指数、日经225指数的高频数据进行实证研究发现: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,从而促使投资者风险得到有效对冲。

This paper analyzes the relationship among RMB exchange rate, Shanghai stock index and NINK225 by ARCH model on the basis of Subprime Mortgage Crisis structure influence. It finds that before subprime mortgage crisis,it exists ARCH effects,asymmetric information shock and volatility persistence ; after subprime mortgage crisis,it does not have ARCH effects,system and unsystematic risk exposure to reduce influence from exchange rate to stock price,and improve investors risk hedging effectively.