Research on the Linkage Mechanism Between RMB Exchange Rate and China's Stock Price——Analysis based on stock indices of different market capitalization scales as entry points
Maintaining the stability of the RMB exchange rate and stock price can effectively reduce systemic risks and provide solid guarantees for the high-quality development of China's economy.To study the linkage mechanism between ex-change rates and stock prices,this paper adopts the DCC-GARCH model and takes the stock indices of companies with dif-ferent market values as the entry point to explore the heterogeneity of the exchange rate stock price relationship in large and small market value companies.The VEC model is used to explore the impact mechanism of factors such as interest rate differ-entials,import and export trade,and capital flows on the exchange rate stock price relationship.The research results indicate that compared to small and medium-sized companies,the stock prices of large market value companies are more susceptible to ex-change rate fluctuations;The continuous widening of the interest rate gap between China and the United States has a greater impact on stock prices than on import and export trade and short-term capital flows,which verifies that the stock effect has a greater impact on the linkage between the exchange rate and China's capital market;The large cap companies included in the Shanghai Shenzhen Hong Kong Stock Connect exhibit heterogeneity:if the interest rate differential and trade surplus between China and the United States continue to widen,the relationship between the stock prices and exchange rates of the large com-panies included in the Shanghai Shenzhen Hong Kong Stock Connect will become stronger;The higher the degree of asset fi-nancialization in China,the less impact the exchange rate has on Chinese stock market.This article deepens previous research and further explores the linkage mechanism between exchange rates and stock prices,providing theoretical reference for regu-latory authorities to formulate policies.
NETL
NSTL
万方数据
