汇率与股指联动关系:基于战略性新兴产业板块的实证

Linkage between Exchange Rate and Stock Index:An Empirical Study on Strategic Emerging Industries Sector

采用小波分析和多元GARCH-BEKK模型相结合的研究方法,测度人民币汇率与我国战略性新兴产业板块股指之间的波动相关性和联动效应。实证结果表明,人民币汇率与信息技术、生物医药板块指数之间均具有不同程度和周期性质交互影响的联动效应,整体来说汇率对行业股指的溢出效应强度大于行业股指对汇率自身,基于实体经济性质的不同,汇率变动对不同行业及其企业的影响并不一致;随着近年来股市行业板块市值的扩大和价格表征作用的加强,样本战略性新兴产业板块股指逐渐对汇率的价格走势和波动产生显著的均值溢出效应和波动溢出效应。

This paper combines wavelet analysis with multivariate GARCH-BEKK model to measure fluctuations relevance and interaction effects between RMB exchange rate and stock index of strategic emerging industry sector.The empirical results show that：（1）RMB exchange rate has interaction effects of varying degrees and periodicity with IT sector and pharmaceutical biotechnology industry sector.On the whole,exchange rate spillover effects on the industry sector is stronger than the industry sector on the exchange rate itself;（2）because of the different entities based on the nature of the economy,the impact of exchange rate changes on different industries and companies;（3）with the expanding of the stock industry sectors’ market-value and strengthening of the role of prices characterization in recent years,most industry sectors are gradually influencing the price movements of exchange rates and fluctuations with significant mean spillover effects and volatility spillovers.