A Study of the Relationship between Renminbi Exchange Rates and Chinese Stock Prices
This study examines the relationship between Chinese renminbi (RMB) exchange rates and Chinese stock prices over the full study period of 20 July 2001 to 21 July 2011. The study also investigates the relationship between the exchange rate and ten industry-specific indices. Also examined is the effect of two specific events on the 'exchange rate/stock price' relationship: (1) the easing of exchange rate controls, and (2) the 2008 start of the global financial crisis. A long-run cointegration relationship is found during the full study period between exchange rates and the Shanghai A-share prices, and for nine of ten industry indices. Granger causality in one direction (i.e., from exchange rates to stock prices, or vice versa) or both directions is found for four of the industry-specific indices. Interestingly, both a long-run cointegration relationship and Granger causality are only found during the most volatile period of managed exchanged rates before the global financial crisis. Implications for Chinese monetary policy makers and global investors are provided.
Year of publication: |
2014
|
---|---|
Authors: | Rutledge, Robert W. ; Karim, Khondkar E. ; Li, Chensheng |
Published in: |
International Economic Journal. - Taylor & Francis Journals, ISSN 1016-8737. - Vol. 28.2014, 3, p. 381-403
|
Publisher: |
Taylor & Francis Journals |
Saved in:
Online Resource
Saved in favorites
Similar items by person
-
A study of the relationship between renminbi exchange rates and Chinese stock prices
Rutledge, Robert W., (2014)
-
Fair value accounting: a historical review of the most controversial accounting issue in decades
Emerson, David J., (2010)
-
Rutledge, Robert W., (2011)
- More ...