人民币升值预期与我国股票市场的动态关系

The Dynamic Relationship between the Expectation of RMB Appreciation and the Stock Market of China

在考察国际资本对股市的影响、汇率的动态变化、国际贸易形势及当前我国资本市场状况的基础上,应用协整检验、VAR模型对人民币汇率形成机制改革之后人民币NDF汇率影响我国股市的情况进行了经验研究。结果发现:人民币兑美元NDF一年期汇率与上证综合指数间存在协整关系,人民币NDF汇率的变化是促进我国上证综合指数和恒生指数波动的一大因素;同时,从相互影响程度来看,上证综合指数对人民币NDF汇率的冲击短期内要小于恒生指数,但是长期来说,A股的影响更为显著。这说明国际热钱的最终目的地还是大陆市场,也从一定程度上验证了国际游资预期人民币升值的愿望。

The authors review the impact of international capital on the stock market, the dynamic changes in exchange rates, international trade situation and the current situation of China＇s capital market. Through the application of co - integration test and VAR model to carry out an empirical study on the impact of China＇s stock market from RMB NDF since the reform of the RMB exchange rate formation mechanism, the authors find that a co - integration relationship exists between one - year RMB NDF exchange rate against the dollar and the shanghai composite index. The RMB NDF change is a major factor to change the volatility of Shanghai composite index and Hang Seng index; at the same time, fi＇om the degree of the impact, Shanghai composite index＇ s short - term impact is less than that of Hang Seng Index on RMB NDF exchange rate, but in the long run, A shares are more significant. This shows that the final destination of international hot money is the Chinese mainland market, which also verifies a wish of international hot money for the expected revaluation of RMB to a certain extent.