中国股票市场与外汇市场的价格关联性研究

摘要

Empirical analysis on the dynamic relationship between Chinese stock market and foreign exchange markets is done,by using sample data of the CSI 300 Index and the Renminbi nominal exchange rate against the US dollar from July 22,2005 to December 31,2015.The long-term equilibrium relationship between China’s stock market and foreign exchange market is analyzed by using cointegration analysis,Granger causality test,and impulse response and so on.Based on this, the Markov regime transition model is used to analyze the structural change characteristics between stock market and foreign exchange market.%以2005年7月22日到2015年12月31日的沪深300指数与人民币兑美元名义汇率为样本，对中国股票市场与外汇市场价格关联性进行了实证分析。具体运用协整分析、格兰杰因果检验、脉冲响应等方法分析了中国股票市场与外汇市场的长期均衡关系，并以此为基础，采用马尔可夫区制转换模型分析股票市场与外汇市场的结构变化特征。