empirical research on exchange rate and stock prices of manufacturing companies

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1、对外经济贸易大学硕士学位论文EmpiricalResearchonExchangeRateandStockPricesofManufacturingCompanies姓名：陈婷婷申请学位级别：硕士专业：金融学指导教师：周揽月201105AbstractBothexchangemarketandstockmarketplayimportantrolesinacountry’Seconomicdevelopment．Theissueofwhetherstockpricesandexchangeratesarerelatedhasreceivedconsiderableatte

2、ntionaftertheEastAsiancrises．ThisarticleexplorestheinteractionbetweenRMB／USDexchangerateandmanufacturingindexusingdailydatafortheperiodfromAugust1，2005toAugust1，2010．MethodsbeingusedinthearticleincludePearsontest，ADFunitroottest，JohansencointergrationtestandGrangecausalitytest．Theempirica

3、lresultsshowbothlong-termcointergrationandshort-termrelationshipbetweenexchangerateandthestockindex．Theconclusionssupporttheflow-orientedmodelandrevealnegativelinkagebetweentwovariables．Bothgovernmentandcompaniesshouldpayattentiontotheseinnerconnections，maintainastablefinancialmarketandre

4、duceforeignexchangeraterisktotheminimumlevel．Keywords：Exchangerate，Stockindex，Cointergration1．1BackgroundIntroductionForeignexchangemarketandsecuritymarketaletwoveryimportantpartsoffinancialmarkets．Foreignexchangerateandstockindexarenotonlythepricesofthetwomajorfinancialmarkets，butalsorep

5、resentnationaleconomicpower,thustheremaybesomeinnerconnectionbetweenthem．TheissueofwhetherstockpricesandexchangeratesarerelatedhasreceivedconsiderableattentionaftertheEastAsiancrises．Thestockpriceistheweatherglassofnationaleconomy,whichfluctuateswithanysubtlechangesoftheentityeconomy．Exch

6、angeratemeasurestheinternationalpriceofcurrencypurchasepowerandaffectstheimportsandexportsabilitiesofacountryoraregion．Bothexchangeratemarketandstockmarketplayaveryimportantroleinacountry’Seconomicdevelopment．Ifstockpricesandexchangeratesarerelatedandthecausationrunsfromexchangeratestosto

7、ckpricesthencrisesinthestockmarketsCallbepreventedbycontrollingtheexchangerates．Similarly,ifthecausationrunsfromstockpricestoexchangeratesthenauthoritiesCallfocusondomesticeconomicpoliciestostabilizethestockmarket．IfthetwomarketsarerelatedtheninvestorsCanusethisinfo