| The exchange rate is the ratio of one currency to another and is a measure of the purchasing power of money.The exchange rate fluctuations will have a major impact on the country's foreign exchange reserves and foreign trade revenues and expenditures.In October 2016,the RMB was formally included in the SDR.The influence of the RMB on the international financial market has been gradually deepened,the internationalization of the RMB has progressed,and the RMB exchange rate has received more attention.The stock market is an important part of China's capital market and plays the role of an economic "barometer".Exchange rate is an important link between domestic financial market and international financial market.Therefore,the research on the relationship between RMB exchange rate and stock market price has important practical significance.Since China adopted the pegged exchange rate policy before 2005,the domestic research on the exchange rate volatility in the stock price started quite late,and the data indexes and data periods selected by different scholars are different,and the conclusions are not the same.The Shanghai-Hong Kong Stock Connect was officially launched on November 14,2014 and the launching of the Shanghai-Hong Kong Stock Connect has strengthened the connection between domestic financial markets and international financial markets.Therefore,the dynamic relationship between the RMB exchange rate and the stock price may also undergo new changes.Therefore,the study on the relationship between the stock price and exchange rate before and after the Shanghai-Hong Kong Stock Connect,especially after the establishment of the Shanghai-Hong Kong Stock Connect,is of great significance for the stability of China's financial markets and the further marketization process.This article first summarizes the classification of relevant documents at homeand abroad,and then makes a theoretical analysis of the transmission mechanism between stock price and exchange rate volatility in the mainstream theory of exchange rate and stock market price relations.Then through the unit root test,cointegration test,error correction model,Granger causality test,VAR model and other methods,analyze the relationship between the exchange rate of the renminbi before and after the Shanghai-Hong Kong Stock Connect and the stock market price of China,and the Shanghai-Hong Kong Stock Connect Before and after the dynamic relationship between the two changes.The study finds that there is no long-term equilibrium relationship between RMB exchange rate and stock market before Shanghai-Hong Kong Stock Connect,but there is a one-way causal relationship between the RMB exchange rate and the stock market price after the Shanghai-Hong Kong Stock Connect.Finally,on the basis of empirical analysis and comparison,combined with the status quo of China's financial market,put forward relevant suggestions on the further construction and stability of the financial markets after the Shanghai-Hong Kong Stock Connect. |
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