The Dynamic Relationship between the Expectation of RMB Appreciation and the Stock Market of China
LIU Bao 1, LIU Jun 2
(1. Anhui Business College of Vocational Technology, Wuhu 241000, China|2. Research Institute of Finance & Economics, Shanghai University of Finance and Economics, Shanghai 200439, China)
Abstract The authors review the impact of international capital on the stock market, the dynamic changes in exchange rates, international trade situation and the current situation of China's capital market. Through the application of co-integration test and VAR model to carry out an empirical study on the impact of China's stock market from RMB NDF since the reform of the RMB exchange rate formation mechanism, the authors find that a co-integration relationship exists between one-year RMB NDF exchange rate against the dollar and the shanghai composite index. The RMB NDF change is a major factor to change the volatility of Shanghai composite index and Hang Seng index|at the same time, from the degree of the impact, Shanghai composite index’s short-term impact is less than that of Hang Seng Index on RMB NDF exchange rate, but in the long run, A shares are more significant. This shows that the final destination of international hot money is the Chinese mainland market, which also verifies a wish of international hot money for the expected revaluation of RMB to a certain extent
LIU Bao-,LIU Cun-. The Dynamic Relationship between the Expectation of RMB Appreciation and the Stock Market of China. Economic Survey, 2011, 28(4): 0145.
2011, Vol. 28 
