| 人民币汇率与股价的ARCH效应检验及模型分析 |
| |
| 引用本文： | 陈雁云,何维达. 人民币汇率与股价的ARCH效应检验及模型分析[J]. 集美大学学报(哲学社会科学版), 2006, 9(1): 72-75 |
| |
| 作者姓名： | 陈雁云 何维达 |
| |
| 作者单位： | 1. 江西财经大学,经济与社会发展研究院,江西,南昌,330013
2. 北京科技大学,管理学院,北京,100083 |
| |
| 摘 要： | 随着人民币汇率弹性的加大,汇率与股价的关联效应开始显现出来,有可能导致外汇市场、股票市场乃至整个金融市场的紊乱,所以两者的关联研究对于整个金融市场的安全与发展具有较大的现实意义。通过对人民币各种汇率与股价的逐日数据所作的ARCH效应检验,得出相应的GARCH和EGARCH模型,并证明人民币币值与股价呈反向关系。
|
| 关 键 词： | 汇率 股价 ARCH |
| 文章编号： | 1008-889X(2006)01-72-04 |
| 修稿时间： | 2005-10-10 |
ARCH Tests and Models of RMB Exchange Rate and Stock Price |
| |
| CHEN Yan-yun,HE Wei-da. ARCH Tests and Models of RMB Exchange Rate and Stock Price[J]. Journal of Jimei University (Philosophy and Social Sciences), 2006, 9(1): 72-75 |
| |
| Authors: | CHEN Yan-yun HE Wei-da |
| |
| Abstract: | With the increment of RMB exchange rate's flexibility, the relationship between RMB exchange rate and stock price comes out. The research on this relationship has larger practical significance to the safety and development of the whole financial market. Through ARCH tests of daily data, the corresponding ARCH models are set up, and the reverse relationship between RMB valuta and stock price is testified. |
| |
| Keywords: | exchange rate stock price ARCH |
| 本文献已被 CNKI 万方数据 等数据库收录！ |
|
