| Since 2005,the exchange rate mechanism reform so far,there is a correlation between RMB exchange rate expectation and stock price fluctuation under different economic situations.And the relationship between RMB exchange rate expectation and stock price has attracted academic attention.At this stage,with the deepening of market reform,there are a series of problems such as the reform of the exchange rate mechanism and the reform of the stock market.That understand the relationship between exchange rate expectation and stock price can provide reference for deepening RMB exchange rate expectation management and financial market reform.This paper bases on the interest rate parity theory and portfolio balance theory and analyzes the mechanism of RMB exchange rate expectations by the import and export paths of international trade channel and the monetary supply path and interest rate path of international capital flow channel.Besides,in terms of the theory of exchange rate expectation formation mechanism and the heterogeneity of exchange rate expectation,this paper builds exchange rate expectation indicator by means of weighing extrapolating exchange rate expectation and regressive exchange rate expectation.Finally,we adopt the cointegration analysis and STR nonlinear smoothing regression to analyze the impact of exchange rate expectations on the fluctuation of CSI 300 index between October 2006 and August 2017.Three conclusions are drawn based on theoretical and empirical analysis.(1)The exchange rate expectation of RMB affects international capital flows,which in turn leads to changes in the capital amount of China's securities market and the market interest rate,which ultimately leads to the fluctuation of stock price.In addition,exchange rate expectation of RMB affects international trade,which in turn affects stock price volatility.The impact of RMB exchange rate expectation on stock price is a comprehensive result of multiple paths.(2)The empirical shows that,the exchange rate expectation of RMB is significant for the unilateral cause and effect of the stock price,the bilateral causality is not significant,and the exchange rate expectation of RMB has a non-linear effect on the stock price fluctuation.In particular,a strong appreciation is expected to lead to a fall in stock price,but a relatively weak appreciation is expected to drive stock price higher.Weak expectation of depreciation prompts a drop on stock price,but strong depreciation expectation leads to a rise in stock price.(3)When money supply and export price are converted variables,there is a non-linear influence between exchange rate expectation and stock price.When the money supply is tighter or looser,the appreciation of the RMB exchange rate causes the stock price to fall.When the money supply is moderately loose,the appreciation of the RMB exchange rate drives the stock price up.With higher export price,the appreciation of RMB leads to the decline of stock price.When export price is lower,depreciation is expected to boost stock price. |
