摘要
对股票价格的联动性和汇率与股价之间动态关系,归纳梳理发现:股票价格的联动性主要通过影响投资者心理预期从而对其他国家或地区的股票市场造成冲击,相关文献在研究方法和结论方面有所不同;而汇率与股价之间的动态关系更为复杂,主要取决于货币市场与资本市场之间的互相作用的结果,相关文献在两者之间是否具有短期因果、长期协整关系和价格溢出、波动溢出效应及两者关系的影响因素方面存在分歧。
This paper reviews the linkage of stock prices and the dynamic relations between exchange rate and stock price and has found that the linkage of stock prices mainly affects the stock markets of other countries or regions by influencing the psychological expectations of investors.The relative papers differ in the research methods and conclusions.The dynamic relations between exchange rate and stock price are much more complicated and mainly depending on the interaction of the monetary market and the capital market.The related papers differ in the following aspects： the Granger causality and co-integrated relationship,the price and volatility spillover effect,the determinants of the relationship between exchange rate and stock price.
出处
《改革》
CSSCI
北大核心
2010年第11期120-124,共5页
Reform
关键词
虚拟资产价格
GRANGER
因果关系
价格溢出
波动溢出
fictitious assets＇ prices
Granger causality relationship
the price spillover
the volatility spillover
