Study On The Spillover Effect Between Exchange Rate And Stock Price On The Context Of Financial Crisis Of Our Country

The exchange rate is the price of the currency abroad, the fluctuation of exchange rate reflects the inner equilibrium of the country's economy.While stock market is the"barometer"referring the running of national economy,as the important index of capital market,stock prices reflect the external equilibrium of the country's economy to a certain extent.The relationship between foreign exchange market and stock market means important to financial market. The relationship of them means the stabilization of the economy development for a developed country.So,it isnecessary to research the relationship between the exchange rate and the price of the stock market in theory and in reality.Form the first reform in 2005 to the second reform in June 2010, the exchange rate experienced strong appreciation, stable period and developing stage , the range of it has increased;With the gradual opening capital account,the marketization level have been improved.On the corresponding,having experienced the reform of Equity separation, launched stock index futures and the margin of the business,the introduction of small plate,the stock market has enriched and perfected the stock market.At the same time,it has changed the intrinsic defects stock.The stock market has developmented healthily.In 2007, American subprime mortgage crisis growed intol financial crisis in all the world .Exchange market and stock market have changed its trends differently.On this context,my article introduces the influence of global financial crisis to disucss the dynamic relationship of the two market in qualitative and quantitative,form two angles of theoretical and empirical.The paper,frist of all,studies the relationship between stock price and exchange rate theoretically, summaries the comprehensive reviews at home and abroad;and then this article analysis the conduction mechanism of them,on entities or on financial,long term or short term.The focal point is part four,in this part , I analyze of the dynamic relationship between exchange rates and stock prices by double variace EGARCH model empirically,explore their price spillover effect and volatility spillover effect, in addition,use the financial crisis as dividing line to research.At last,taking example by the Japanese appreciation and combining the specific results with the actual situation of our country enriches the article, country,the paper comes up with the countermeasure to safeguard the development of financial market.