| In2005July, China reformed the RMB exchange rate formation mechanism. in2010June, the People’s Bank of China go on reforming the exchange rate regime, the flexibility of the RMB exchange rate is enhanced. After a few years, the exchange rate formation mechanism reform achieved certain results, but also with the appreciation of the RMB. In July21,2005the RMB-USD exchange rate is8.2765points, all the way down to6.1286points in March4,2014.The modern stock market is a level, both has the main board stock market and the GEM stock market.In2009October, the GEM stock market formally established in the Shenzhen Stock Exchange, Chinese stock market also have the main board market and the second board market.In June1,2010, the Shenzhen Stock Exchange issued the GEM index,973.23points.1460.45points in2014March4, the cumulative increase50.06%. In China’s stock market board, the Shanghai Composite Index,2568.28points in June1,2010.2071.47points in2014March4, the cumulative decline23.98%.During the period from June1,2010to March4,2014, the value of the RMB rose, the main board shares price fell, the GEM stock price rose. The various types of financial markets often influence each other. The movement of price of a market often leads to changes in price of another market. In view of the differences in the GEM and the main board, the appreciation of the RMB may have different effects on the main board price and the GEM stock price. At the same time, the changes of the GEM stock prices, the main board stock prices may also have different effects on the exchange rate of RMB. This is the focus of this paper.This paper consists of five parts:The first part, introduction. Firstly, introduces the research background and research significance. Then, introduces the research content and the structure arrangement. And methods of this research are summarized, including theoretical analysis, comparative analysis, descriptive statistics analysis method, empirical analysis. Finally, this paper points out the possible innovations and shortcomings.The second part, the research status at home and abroad. First of all, introduce the status of research abroad. The foreign research object mainly concentrated in developed countries and emerging market foreign exchange market and the stock market, relatively few studies for developing countries. It contains the classical theory, also has a large number of empirical analysis. Then, introduces the domestic research status, main research object is the RMB exchange rate and stock price Chinese. Research results are divided into two kinds, one is the theory research of conduction mechanism between exchange rate and stock price, the other is empirical research between exchange rate and stock price correlation.The third part, the theoretical basis of correlation between exchange rate and stock price. This part includes the theory of the exchange rate changes causing the stock price, and the theory of the stock price causing the exchange rate. The two theory begin in the theoretical model of classical tradition, and then expand the number of conduction intermediary transmission mechanism theory. It leads to relatively complete theory of transmission mechanism, including current account, capital account, Interest rates, Psychological expectations. This part is the theoretical basis of the article, provide some explanation for the empirical results of the next chapter.The fourth part, the empirical analysis of correlation between the RMB-USD exchange rate and the main board, GEM stock price. First of all, the theoretical basis of the empirical analysis are introduced briefly; then, the Shanghai composite index represents the motherboard stock price, the GEM index represents GEM stock. Daily transaction data collected from June1,2010to March4,2014, each with905data. Finally, three steps of empirical analysis. The first step, the correlation coefficient analysis shows that there is a positive and strong correlation between the RMB-USD exchange rate and Shanghai Composite Index, there is a negative and weak correlation between the RMB-USD exchange rate and Gem index; The second step, through the Granger causality test show that the RMB-USD exchange rate is the causal relationship of main board stock price, but not vice versa; GEM stock price is the causal relationship of the RMB-USD exchange rate, but not vice versa. The third step, Co-integration test shows that the long term, the RMB-USD exchange rate and main board stocks price have a stable relationship. But the RMB-USD exchange rate and the GEM stocks price do not have a stable relationship.The fifth part, introduces the conclusion and policy recommendations. First, summarizes two conclusions. One conclusion:the relationship between the RMB exchange rate and our main board stock is strong positive, and the long-term stability. The exchange rate is the dominant. Second conclusions, the relationship between RMB exchange rate and the GEM stock price is negatively weak, non stable. And the stock price is the dominant. Next, using the exchange rate and stock mutual conduction theory analysis of two empirical conclusion. Finally, according to the analysis of the empirical results and conclusions of the corresponding policy recommendations are given. One, stocks and currencies regulation policy should consider the correlation of two markets; Two, through the adjustment of economic structure, actively stimulating domestic demand to cope with the appreciation of RMB; Three, improving the foreign exchange risk management ability and the construction of the foreign exchange derivatives market; Four, perfect the multi-level capital market in China, play the stock market macroeconomic barometer function, improve the transmission mechanism from stock to exchange rate.The main advantages of this paper are as follows:First, this paper take into account the level of the stock market, while the conclusions and policy recommendations in this paper analyzes the necessity to build a multi-level capital market. This is consistent with our construction of multi-level capital market policy orientation. Eighteen meetings do report that "promote sound macroeconomic stability, support the development of a modern financial system of the real economy, accelerate the development of multi-level capital market."Most previous studies have focused on the overall price level of study RMB exchange rate on China’s stock market is often a lack of consideration of the level of China’s stock market. The stock market has a hierarchy, but also has a level of price resistance. Simply study the overall level of the RMB exchange rate and stock price, without regard to price levels, and its conclusions do not have completeness.Second, since our launch of the GEM, although the development time is shorter, but the rapid development momentum of the GEM. Correlation stage for the RMB exchange rate and the market price of the GEM is still relatively scarce. Most of GEM listed companies are SMEs, often with high-tech, high-growth and innovation capacity. GEM development of innovation and technological development of national strategies, as well as a major contribution to economic growth. In this paper, the GEM stock price and the RMB against the U.S. dollar a theoretical analysis and empirical research. Concluded as follows, GEM is a unidirectional causality price of RMB against the U.S. dollar, but a weak negative correlation between the two, and do not have long-term stable relationship.Third, based on the characteristics of the GEM market is different from the motherboard market considerations, this article on the motherboard market price of the RMB exchange rate and also the relevance of empirical research, and then on the two were compared. Paper selected sample rate and stock price data showed two trends:RMB appreciation and motherboard fell, RMB appreciation and GEM rose. According to results of previous studies, the RMB appreciation and dropped the phenomenon of frequent occurrence. Therefore, the comparative study of this article has great significance. Conclusions are as follows, RMB exchange rate between a strong positive correlation between the share price and the motherboard, and the long-term stability, which dominates the exchange rate, in line with the flow-oriented models. Between the RMB exchange rate and a weak negative correlation between GEM shares, non-long-term stability, which dominates the share price, in line with stock-oriented model.Fourth, this paper studies the method of theoretical analysis and empirical analysis combining. In the relevant literature and summarized based on the results compare well with the price transmission mechanism between the exchange rate theory. Including recurring items, capital, interest rates, psychological expectations four conduction intermediary. After using the theory of the transmission mechanism of the empirical analysis and interpretation of the results, so that the theoretical and empirical unified. Meanwhile, according to the theoretical analysis and empirical conclusions put forward policy recommendations of this article. |
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