人民币汇率预期与股票价格波动

Relations between RMB Exchange Rate Expectations and Stock Price Fluctuations

本文试图研究2005年汇率形成机制改革以来人民币汇率预期与国内股票价格波动之间的关系。文章以NDF市场和国内上证A股、深证成股以及沪深300市场为研究对象,以利率平价为理论基础,通过构建人民币汇率预期指数变量和VAR模型,实证分析了境外NDF市场人民币汇率预期与股票市场指数之间的关系。研究发现,境外NDF市场汇率预期对股票价格变化具有引导作用。1个月期限人民币升值预期对未来的股票价格日变化率有正向引导作用,且具有显著的正向波动传导现象;3个月期限人民币升值预期对未来的股票价格日变化率有负向引导作用,且具有显著的负向波动传导现象。

This paper attempts to study the relationship between RMB exchange rate and domestic stock price volatilityafter the RMB exchange rate formation mechanism reform in July 2005. Based on the NDF forward market, stock market andinterest rate parity theory, this paper finds a proxy index variable of exchange rate expectation, and builds the VAR model toobtain the relationship between RMB exchange rate expectation and the actual changes of stock price. This paper found thatthe exchange rate expectations of NDF forward market played an important part in the changes of stock index. One month period RMB appreciation expectation had positive relationship with the changes of the stock index, with the significant phenom-ena of positive fluctuation conduction; three months period RMB appreciation expectation had negative relationship with thechanges of the stock index, with the significant phenomena of negative fluctuation conduction.