The empirical analysis of the RMB appreciation’s effect on Shanghai composite index.   [Abstract] The article first start theory, Comprehensive stock prices pricing model, the net export function, J-curve, BP curve theoretically indicates the appreciation of the RMB will affect the country's stock market prices. Then collected on July 21, 2005 to April 30, 2007 exchange rate of the renminbi, with the composite index cards on several According to the empirical analysis. Through data stationarity test, integration test, the test causes the exchange rate to come to the price of one-way causation, that fluctuations in the exchange rate will affect the stock market and stock price changes do not affect the foreign exchange market. Then with the exchange rate will affect the stock price of this conclusion, the establishment of a dynamic model (ARDL). Model said the share price on a day by day before the onset of stock prices and the exchange rate between the decision. We followed the model to predict the results of samples forecast good results, samples from the forecast of a larger deviations. Finally, the ARDL model of ARCH effects test. The result is the existence ARCH effect, we established a model of ARCH and GARCH (1,1) model.   The empirical analysis of the RMB appreciation’s effect on Shanghai composite index [Abstract] The article begins with the theory. comprehensiving the stock prices pricing model, The net export function, the J-curve, and the BP-curve indicates that the appreciation of the RMB will affect the stock market prices. Then we collected data of the exchange rate of the RMB and the Shanghai composite index from July 21, 2005 to April 30, 2007. Through data stationarity test, cointegration regression test, and causality test we get that the exchange rate will affect the stock market, that is the fluctuations in the exchange rate will effect the stock market and stock price changes do not affect the foreign exchange market. We establish a dynamic model(ARDL) on the above result. The model indicated that the share price on one day main decided by the stock price of one day before and the exchange rate price of three days before. Then we make a predict with the model, the forecast of in-sample is good and the forecast of out-of-sample have a larger deviations. Finally we do a ARCH effects test on the ARDL model. The result is the model exist ARCH effect, then we set up a model of ARCH and the GARCH(1,1) model.  

评论