With the continuous progress of market-oriented reforms for our economy, the opening-up of financial markets goes deeper. Since, particularly, the reforms of split-share structure and of mechanism for RMB exchange rate, the internal interrelation mechanism between stock market and exchange market has been recovering in our country. The international financial crisis, however, breaking out in 2008, resulted in dramatical fluctuations for the two markets, and brought immense challenges to the interrelation between them. With the economic resurgence and the improvement of market environment in our country, securities credit transaction and stock index futures are introduced in succession, meanwhile, the central bank decide to further promote the reform of RMB exchange rate formation mechanism, and to enhance the elasticity of RMB exchange rate, all of which heighten the internal interrelation between the two markets.In this context, what have been the focus of our attention are how to effectively describe the interrelation characteristics or the transmission mechanism between them of different periods; and if the international financial crisis affects the interrelation, as well as what it is; and how to effectively help the financial regulation departments improve the efficiency of policy-making to guard against the financial markets risks; and so on.Based on learning related researches from home and abroad, this paper, employing the method of combining qualitative analysis with quantitative research, studies the feathers, structural changes and causes of the interrelation between the two markets of China. The major research contents and innovations are as follows:Firstly, we divide the sample into three stages by the international financial crisis to investigate the impact of it on the interrelation, as well as the change laws of the interrelation characteristics, between the two markets of China; Secondly, we would introduce interest rate differential, taken as exogenous variable, to investigate the impacts of capital market on the two markets and the interrelation between them; Thirdly, we employ the model of BEKK-MGARCH-VAR to investigate mean spillover effects and volatility spillover effects between them, and also carry out robustness tests. While current literatures available mostly adopt the models of bivariate EGARCH or DCC-MGARCH to investigate the spillover effects simply for the later exchange rate regime reform stage, and summarize with different conclusions; In addition, it would lead to information defect, and, subsequently, affect the real interrelation if the impact of the interests spread on the transnational flow of capital, and then on the interrelation between the two markets is ignored.The results manifest that there is no long-term co-integration between the two markets; as for spillover effect, there exists only unilateral spillover effects in mean and volatility between them, and the direction of spillover effects is transforming from exchange rate to stock price to the reverse, however, there doesn't exist any mean or volatility spillover effect during the financial crisis, the main reasons for which are the international macroeconomic situation and the regulation for the exchange rate of RMB; regarding the spread, the influence of it on the exchange rate is becoming notable with expansion of the spread, but not on the stock price.Our research would contribute to discussing the transmission mechanism, as well as its change laws, between the stock market and the exchange market of China in-depth, and would promote related research among other financial markets, as well as refining financial markets theories; It is also helpful for the financial regulation departments to grasp the internal interrelation mechanism and its change laws associated with the two markets, which will provide with significant realistic significance in guarding against financial market risks, in safeguarding the stability of financial markets, and in improving the efficiency of decision-making. |