The Impact of Foreign Exchange Reform on the Volatility of China's Stock Market

摘要

In this paper, we investigate the change of the volatility of stock market before the exchangerate reform (ERR) and after it, resorting to GARCH models. Our results suggest that ERR indeed affectthe stability of stock market and the introduction of the new exchange rate mechanism increases thevolatility of the stock market and this increasing effect is due to the acceleration speed of informationflowing.