A Comparative Study of the Dynamic Relations Between Renminbi Exchange Rates and Stock Market Prices: Evidence from Chinese Firms in Various Markets and Sectors

Ruixuan Hu, Fordham University

Abstract

This dissertation conducts a comparative investigation of the relationship between Chinese currency exchange rate and stock index using data from Chinese firms in various industries and stock exchange markets. In this study we firstly verify the stock-approach model using the evidence of Chinese firms' oversea stock prices and Renminbi expected exchange rates. To extend the theory ,we summary three limited consensuses from recent twenty-year researches, and test these consensuses using Chinese firms' data in different industries and stock exchange markets. The results support all three consensus: 1. The relationships are different in various stock markets and industries. 2. Uncertainty movement of Renminbi exchange rate will effect on stock prices. 3.The relationship result may different if the model adds monetary and macroeconomic variables. Besides, we confirm that short-term RMB exchange rates' fluctuation's impact on stock price is less obvious than effect of the long-term RMB exchange rates' fluctuation; domestic money supply and output level indeed have significant impacts on RMB exchange rate.^

Subject Area

Economics|Economic theory

Recommended Citation

Hu, Ruixuan, "A Comparative Study of the Dynamic Relations Between Renminbi Exchange Rates and Stock Market Prices: Evidence from Chinese Firms in Various Markets and Sectors" (2017). ETD Collection for Fordham University. AAI10681836.
https://fordham.bepress.com/dissertations/AAI10681836

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