The Research of Exchange Rate Fluctuation Have Asymmetric Effects on Stock Prices

Abstract

This dissertation was written with theory and empirical test: firstly, it summarized the domestic and foreign literature on the relationship between exchange rate change and stock price fluctuation, introduced the linkage mechanism between exchange rate and stock price. Based on theoretical analysis, the multivariate NARDL model was used to analyze empirically the impact of RMB exchange rate fluctuation on Chinese stock market. Through empirical tests, it is verified that exchange rate changes have a significant asymmetric effect on Chinese stock prices in the long run, providing an empirical basis for preventing the linkage risks of these two markets.