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摘要随着全球金融市场一体化程度加深，证券市场与外汇市场之间的联系不断加强，同时各国市场之间的联系也有所增加。我国从2005年开始，实行了人民币汇率改革和股权分置改革，这使得人民币汇率和股票价格的市场化有不同程度的增加。此后，人民币出现缓慢升值，股票市场也继续上演着跌宕起伏的表现，那么二者间的联系如何，近年是否表现出新规律。与中国等很多市场的情况不同，日元汇率与其股市近期的关系比较稳定，比较中、日市场的异同有助于加深汇率和股市联动规律的认识。
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本文基于金融学和经济学对于汇率与股票价格关联性解释的原理，对中、日两国相关市场作了实证分析。论文的数据期间为2012年1月到2014年12月，汇率选择人民币兑美元汇率和日元兑美元汇率的每日数据，证券市场指数选择沪深300指数和日经225指数每日收盘价。论文对两国汇率与股价指数之间关联水平运用格兰杰因果检验等多种手段进行关系检验，并对实验结果进行了分解研究。依据分析结果，论文比较了中、日两国股汇市关系的异同，并由此提出相关政策讨论。27048
关键词 汇率 股价 关联性 Granger因果检验
毕业论文外文摘要
Title Analysis of the relationship between exchange rate and stock market index
——Based on the analysis of Chinese and Japanese empirical data
Abstract
With the integration of the global financial market deepening, the link between stock market and foreign exchange market continue to strengthen, also the link between national markets also increased. From 2005 our country began the implementation of the reform of the RMB exchange rate and equity pision reform, which makes the RMB exchange rate and stock prices in the market have different degrees of increase. Thereafter, the RMB has been in slow appreciation, the stock market also continue to stage of ups and downs, so how is the connection between the two, in recent years, is there the new rules. Unlike many markets such as China, yen exchange rate and the stock market's recent relationship is relatively stable, Compare the similarities and differences of the markets between China and Japan could help us to deepen the understanding of exchange rate and the stock market linkage rules.
This thesis is based on the finance and economics to explain the exchange rate and stock price correlation principle, in China and Japan, the relevant market for the empirical analysis. The data during the 2012 January to December 2014, the daily data of the choice of exchange rate of RMB against the U.S. dollar exchange rates and the yen against the dollar exchange rate, stock market index selection in Shanghai and Shenzhen 300 index and the Nikkei 225 index daily closing price. Thesis uses various means to test the relationship of bilateral exchange rate and stock price index, and compares the experimental results. According to the analysis result, to explain the similarities and differences between stock market the relationship, and puts forward relevant policy discussion.
Keywords Exchange rate；Stock price；Relationship；Granger causality test
目 次
1 绪论 … 1
1.2 研究意义… 1
1.2文章结构与研究方法… 1
2 文献综述 3
2.1关于中国的汇率与股票市场指数关联关系的研究 … 3
2.2关于中国的汇率与股票市场指数关联关系的研究 … 4
3 汇率与股价指数之间关联性的理论基础 … 6
3.1流量导向模型 6
3.2股票导向模型 6
3.3两种理论的对比… 7
4 中日两国汇率与股价指数之间关系的实证检验 8
4.1样本选取处理与数据来源… 8