Comparative Study On The Impact Of Stock Market During The Currency Appreciation In China And Japan

Along with the further opening degree of the global economy and financial system, the integrating of international financing markets is deepening, the co-integration of price of stock market and exchange market is stronger than before.RMB has been starting appreciating slowly since 2005,and the stock market has gone through the precess of rapid rising and dropping. It is very similar to Japan's history in 1985s. Thus it is significant for China's rapid and steady economic development to analyse the relationship between exchange rate and stock prices since from currency appreciation in China and Japan, and then identify the same and different places,and learn from the lessons of Japan's history.The paper sort out and conclude the transmission mechanism of exchange rate and stock prices systematically through the use of Finance and International Economics; find the relationship of the exchange rate and stock prices through unit root test, co-integration analysis, vector error correction model (VEC) and Granger causality test in Japan and China; The results show that: (1) In the long-term and static relationship between exchange rate and stock price,the two countries share negative correlation, and the impact of stock price caused by the change of exchange rate in China is more than that in Japan. (2) In the short-term and dynamic relationship between exchange rate and stock price, the fluctuation of exchange rate is significant on the shock of stock price,and the impact of China is 3.39 times more than that of Japan. (3) In the direction of Granger causality, stock price is the Granger causality to exchange rate at long term, exchange rate is the Granger causality to stock price at short term in Japan. But in China, there is not only two-way Granger causality between exchange rate and stock price in the long term, but also exist short-term Granger causality from exchange rate to stock price.The analysis of paper establish on the measurement test and comparison of the relationship of exchange rate and stock price in two countries. In empirical study, the impact of long-term changes and short-term fluctuation is highlighted. The conclusion of study have strong theoretical value and practical significance for future policy measures.