本文選題：人民幣匯率 + 行業(yè)板塊指數(shù)　； 參考：《湖南大學》2014年碩士論文

【摘要】：隨著人民幣匯率體制改革的推進，包括人民幣合格境外機構投資者(RQFII)機制的出臺、強制結售匯制度的廢止等，人民幣升值預期不斷強化，境內(nèi)機構及個人持有和使用外匯自主權逐漸增強，人民幣匯率對國民經(jīng)濟和行業(yè)發(fā)展的影響愈來愈大。匯率與股價之間的溢出效應和聯(lián)動機制一直是國內(nèi)外學術界和金融界的關注熱點，不同行業(yè)的實體經(jīng)濟發(fā)展狀況和行業(yè)股市價格波動是否會影響匯率的預期走勢是一個較為新穎的研究方向。了解和把握人民幣匯率與股市行業(yè)板塊指數(shù)間聯(lián)動效應，有助于處于不同行業(yè)背景下的上市公司及企業(yè)，知悉匯率變動對其股價表現(xiàn)、市場價值等方面的影響，對于提高企業(yè)的外匯風險管理能力、完善我國金融市場改革具有參考意義和實踐價值。 本文采用小波分析和多元GARCH-BEKK模型相結合的研究方法，，測度人民幣匯率與股市行業(yè)板塊指數(shù)之間的波動相關性和聯(lián)動效應，不僅考慮到人民幣匯率與股市行業(yè)板塊指數(shù)間聯(lián)動效應的雙向傳遞效應，并且運用小波多分辨分解的特性及方法來刻畫不同的交易周期下匯率和各個行業(yè)板塊指數(shù)序列間的聯(lián)動效應，具體測度了兩者之間聯(lián)動性的強度、方向和周期性。 實證結果表明，人民幣匯率與所有樣本行業(yè)板塊指數(shù)間都具有不同程度和周期性質(zhì)交互影響的聯(lián)動效應；整體來說匯率對股市行業(yè)板塊指數(shù)的溢出效應強度大于行業(yè)板塊指數(shù)對匯率自身，這種傳導效應在較短交易周期下表現(xiàn)更為顯著；基于實體經(jīng)濟性質(zhì)的不同，匯率變動對不同行業(yè)及其企業(yè)的影響并不一致；隨著近年來股市行業(yè)板塊市值的擴大和價格表征作用的加強，大多數(shù)行業(yè)板塊指數(shù)逐漸對匯率的價格走勢和波動產(chǎn)生顯著的均值溢出效應和波動溢出效應。
[Abstract]:With the promotion of the reform of the RMB exchange rate system, including the introduction of the RQFII-based mechanism for qualified foreign institutional investors of the renminbi, and the abolition of the mandatory foreign exchange settlement and sale system, the expectation of RMB appreciation has been continuously strengthened.The autonomy of holding and using foreign exchange by domestic institutions and individuals is gradually strengthened, and the RMB exchange rate has more and more influence on the development of national economy and industry.The spillover effect and linkage mechanism between exchange rate and stock price have always been the focus of attention in academic and financial circles both at home and abroad.The development of real economy in different industries and whether the fluctuation of stock market price will affect the expected trend of exchange rate is a new research direction.Understanding and grasping the linkage effect between the RMB exchange rate and the stock market sector sector index will help listed companies and enterprises in different industry backgrounds to know the impact of exchange rate changes on their stock price performance, market value, etc.It has reference significance and practical value for improving the foreign exchange risk management ability of enterprises and perfecting the reform of financial market in our country.In this paper, wavelet analysis and multivariate GARCH-BEKK model are used to measure the volatility correlation and linkage effect between RMB exchange rate and stock market sector index.Considering not only the two-way transfer effect of the linkage effect between the RMB exchange rate and the stock market sector sector index,The characteristics and methods of wavelet Multiresolution decomposition are used to describe the linkage effect between the exchange rate and the index series of various sectors in different trading cycles. The intensity, direction and periodicity of the interaction between the two are measured.The empirical results show that there is a linkage effect between the RMB exchange rate and all the industry sector indices.On the whole, the spillover effect of the exchange rate on the industry sector index of stock market is stronger than that of the industry plate index on the exchange rate itself, and the conduction effect is more significant in the short trading cycle.The impact of exchange rate movements on different industries and their enterprises has not been consistent; with the expansion of market value, the stock market sector, and the strengthening of the role of price representation in recent years,Most industry sector indices gradually produce significant mean spillover effect and volatility spillover effect on the price trend and volatility of exchange rate.
【學位授予單位】：湖南大學
【學位級別】：碩士
【學位授予年份】：2014
【分類號】：F832.6;F832.51

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