A Study of the Causal Relationship between Real Exchange Rate of Renminbi and Hong Kong Stock Market Index

作者:

Wai-Choi Lee1,2 wclee@hsmc.edu.hk

資料來源:

Modern Economy. Sep2012, Vol. 3 Issue 5, p563-566. 4p.

文件類型:

Article

主題術語:

*RENMINBI
*RESEARCH
*FOREIGN exchange
*FOREIGN exchange market
*FOREIGN exchange rates
*EQUILIBRIUM (Economics)

作者提供的關鍵字:

Cointegration Test
Error Correction Mechanism
Granger Causality Test
Hang Seng Index
Renminbi

摘要:

This paper attempts to study whether the real exchange rate of Renminbi and stock market index in Hong Kong are related to each other or not. The study uses cointegration and Granger causality tests on the monthly data of the real exchange rate of Renmnibi (RMB) in terms of Hong Kong dollars (REX) and Hang Seng Index (HSI) since the foreign exchange reform of China in July 2005. The major findings of the study are a) the cointegration test shows that there exists a long-run equilibrium relationship between REX and HSI; b) the error correction mechanism further evidences that there is an error correction between REX and HSI in the short run; c) the Granger causality test indicates that there is causal direction from RMB to HSI but not vice versa.[ABSTRACT FROM AUTHOR]

 

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作者所屬機構:

1Department of Economics and Finance, Hang Seng Management College, Hong Kong, China
2School of Finance, Shanghai University of Finance and Economics, Shanghai, China

ISSN:

2152-7245

DOI:

10.4236/me.2012.35074

入藏號碼:

84546638

資料庫:

Business Source Complete




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