empirical research on exchange rate and stock prices of manufacturing companiesempirical research on exchange rate and stock prices of manufacturing companies论文

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1、对外经济贸易大学硕士学位论文EmpiricalResearchonExchangeRateandStockPricesofManufacturingCompanies姓名：陈婷婷申请学位级别：硕士专业：金融学指导教师：周揽月201105AbstractBothexchangemarketandstockmarketplayimportantrolesinacountry’Seconomicdevelopment．Theissueofwhetherstockpricesandexchangeratesa

2、rerelatedhasreceivedconsiderableattentionaftertheEastAsiancrises．ThisarticleexplorestheinteractionbetweenRMB／USDexchangerateandmanufacturingindexusingdailydatafortheperiodfromAugust1，2005toAugust1，2010．MethodsbeingusedinthearticleincludePearsontest，ADFu

3、nitroottest，JohansencointergrationtestandGrangecausalitytest．Theempiricalresultsshowbothlong-termcointergrationandshort-termrelationshipbetweenexchangerateandthestockindex．Theconclusionssupporttheflow-orientedmodelandrevealnegativelinkagebetweentwovaria

4、bles．Bothgovernmentandcompaniesshouldpayattentiontotheseinnerconnections，maintainastablefinancialmarketandreduceforeignexchangeraterisktotheminimumlevel．Keywords：Exchangerate，Stockindex，Cointergration1．1BackgroundIntroductionForeignexchangemarketandsecu

5、ritymarketaletwoveryimportantpartsoffinancialmarkets．Foreignexchangerateandstockindexarenotonlythepricesofthetwomajorfinancialmarkets，butalsorepresentnationaleconomicpower,thustheremaybesomeinnerconnectionbetweenthem．Theissueofwhetherstockpricesandexcha

6、ngeratesarerelatedhasreceivedconsiderableattentionaftertheEastAsiancrises．Thestockpriceistheweatherglassofnationaleconomy,whichfluctuateswithanysubtlechangesoftheentityeconomy．Exchangeratemeasurestheinternationalpriceofcurrencypurchasepowerandaffectsthe

7、importsandexportsabilitiesofacountryoraregion．Bothexchangeratemarketandstockmarketplayaveryimportantroleinacountry’Seconomicdevelopment．IfstockpricesandexchangeratesarerelatedandthecausationrunsfromexchangeratestostockpricesthencrisesinthestockmarketsCa

8、llbepreventedbycontrollingtheexchangerates．Similarly,ifthecausationrunsfromstockpricestoexchangeratesthenauthoritiesCallfocusondomesticeconomicpoliciestostabilizethestockmarket．IfthetwomarketsarerelatedtheninvestorsCanusethisinfo