Liu, Li; Wan, Jieqiu - In: Physica A: Statistical Mechanics and its Applications 391 (2012) 23, pp. 6051-6059
This paper explores the co-movement of Shanghai stock market and China Yuan (CNY) exchange rates. First, we find that stock price and exchange rate are significantly cross-correlated. Second, employing a cointegration test allowing for a structural break, we find that the Shanghai Composite...