The Impact of Subprime Mortgage Crisis on the Relationship between Exchange Rate and Stock Price: Evidence from China

摘要

This paper analyzes the relationship among the exchange rate of U.S. dollars against RMB (USD/CNY), Shanghai and S&P500 stock index by ARCH model. It finds that the relationship between exchange rate and Shanghai stock index return is negative; otherwise S&P500 and Shanghai stock index return is positive. After subprime mortgage crisis, the speed of exchange rate pass-through is accelerated. Then the exchange rate ARCH effect on stock price is disappeared.