| On August 11,2015,the People’s Bank of China issued a statement on the new exchange rate reform.The core of this statement is that the central parity of the RMB against the US dollar will follow the foreign exchange rate market closing exchange rate of the previous trading day.This is a new exchange rate reform after the previous exchange rate reform in 2005.This new exchange rate reform will make the USD/CNY exchange rate more market-oriented and more flexible,and will make the relationship between the USD/CNY exchange rate and the stock price more complex.Therefore,it is meaningful to study the relationship and influence between the USD/CNY exchange rate and the stock price for the development of China’s financial market and regulatory security.On this background,this paper chooses the daily data of the USD/CNY exchange rate and the closing price of the Shanghai Stock Exchange Index from August 12,2015 to February 21,2019.On March 23,2018,a trade war broke out between China and the United States.Therefore,this paper divides the interval into two parts,before the trade war and after the trade war,to determine whether the trade war has brought some shadow to the relationship between USD/CNY exchange rate and the stock price.This paper studies the relationship between USD/CNY exchange rate and stock price through the four theories:flow-oriented model,stock-oriented model,interest rate parity and herding effect.In the empirical test,this paper conducts an empirical study on the exchange rate between the USD/CNY exchange rate and the stock price by performing a stationarity test on the time series data,judging the optimal lag period,establishing a vector autoregressive model(VAR model),and drawing an impulse response map.The following conclusions were made:1.There is a negative correlation between the USD/CNY exchange rate and the stock price,that is,the USD/CNY exchange rate rises when the stock price declines;the USD/CNY exchange rate declines when the stock price rises.And the trade war did not affect the relationship between the two.2.There is a long-term equilibrium co-integration relationship between the USD/CNY exchange rate and the stock price,and the trade war has not broke the long-term equilibrium co-integration relationship between the USD/CNY exchange rate and the stock price.3.There is a two-way Granger causality relationship between the USD/CNY exchange rate and the stock price.Before and after the trade war,the Granger causality between the USD/CNY exchange rate and the stock price changed a certain degree.The reason is that the trade war has a great psychological impact on investors,which greatly affecting the psychological expectations of domestic investors,causing some negative emotions for investors,which has affected the exchange market and stock market changes.Therefore,after a series of theoretical studies and empirical research,some suggestions have been put forward to improve the economy,such as guiding investors to develop in a rational way,strengthening psychological construction and the ability of independent thinking,and avoiding blindly following the trend of buying and selling securities.Relevant departments should also strengthen the information disclosure of listed companies to avoid the phenomenon of false accounts.In addition,the government should strengthen market construction,avoid excessive intervention,and try to make the exchange rate market and the stock market self-regulate until they reach a healthy state.The new idea of this paper is to study the daily data after the new exchange reform,and to study and compare the relationship between the USD/CNY exchange rate and the stock price by using the Sino-US trade war as the demarcation line.The disadvantage of this paper is that it fails to consider the differences between different industries and the impact of other economic variables that can change the effect on exchange rates and stock prices. |
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