摘要
考察了上海股票市场A股的回报率与人民币汇率的关系.首先,经过单位根检验发现:股票回报率与人民币名义汇率是一阶单整。接着,利用Engle-Granger协整检验得到:在5%的显著性水平下,股票回报率与人民汇率没有长期均衡关系,但不能够拒绝短期单方向的Granger因果关系,即人民币名义汇率是股票回报率的Granger原因.
This paper investigated the relationship between RMB exchange rate and A-share stock returns in China, in particular in Shanghai stock market. We find that both stock returns and RMB nominal exchange rate are integrated of order 1. The Engle-Granger cointegratlon test was then performed, suggesting that there is not a long-run equilibrium relationship between stock returns and RMB exchange rates at 5 % significance level. However, strong evidence suggests that there is a short-run unidireetional eausality relationship from the nominal exehange rate to the stock returns.
出处
《经济数学》
北大核心
2010年第3期1-8,共8页
Journal of Quantitative Economics
基金
湖南省科技厅计划项目(2009ZK3110)
湖南省自然科学基金资助项目(10JJ3071)
