Title :
Exchange rate and stock index volatility: Empirical evidence from China
Author_Institution :
Statistic Sch., Xi´´an Univ. of Finance & Econ., Xi´´an, China
Abstract :
This paper explores the links between the USD/RMB and the Shanghai Stock Index using the ARCH model. The key findings are: the USD/RMB exchange rate and the Shanghai Stock Index are in equilibrium in the long-run; USD/RMB exchange rate is the leading indicator of Shanghai stock index; spot exchange rate is positive to Shanghai Stock Index; spot exchange rate is negative to Shanghai Stock Index in 1 lag; exchange rate movements are significant to stock market volatility when the fixed exchange rate regime is changed into a managed floating exchange rate regime.
Keywords :
autoregressive moving average processes; exchange rates; international trade; ARCH model; China; RMB; Shanghai stock index; USD; empirical evidence; equilibrium; exchange rate; stock index volatility; Computational modeling; Couplings; Exchange rates; Indexes; Mathematical model; Stock markets; Time series analysis; ARCH; Exchange Rate; Stock Index;
Conference_Titel :
Business Management and Electronic Information (BMEI), 2011 International Conference on
Conference_Location :
Guangzhou
Print_ISBN :
978-1-61284-108-3
DOI :
10.1109/ICBMEI.2011.5916891
