沈阳大学学报（社会科学版）2016，Vol.18Issue(6)：674-678,5.
中国股票市场与外汇市场的价格关联性研究
Dynamic Relationship between Chinese Stock Market and Foreign Exchange Markets
摘要
Abstract
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.关键词
股票市场/外汇市场/价格关联性/MS-VARKey words
stock market/foreign exchange market/price relevance/MS-VAR分类
管理科学引用本文复制引用
郭晓旭..中国股票市场与外汇市场的价格关联性研究[J].沈阳大学学报（社会科学版）,2016,18(6):674-678,5.基金项目
沈阳市社会科学立项(SYSK20061810)。 （SYSK20061810）
