The Impact of Exchange Rate Fluctuations on China’s Industrial Stock Prices: An Empirical Analysis
DOI:
https://doi.org/10.54097/achzcq49Keywords:
exchange rate, industrial stocks, VAR model, cointegration, stock price.Abstract
This paper investigates the impact of RMB exchange rate fluctuations on China’s industrial stock prices using daily data from January 1, 2016, to December 31, 2022. A vector autoregression (VAR) model is constructed based on the RMB/USD exchange rate and the Shanghai Industrial Index. The empirical results indicate a long-term cointegration relationship between the exchange rate and industrial stock prices. A depreciation of the RMB tends to drive up industrial stock prices in the short term. The findings support the existence of a positive transmission mechanism from the foreign exchange market to the stock market, particularly within the industrial sector. Policy implications are discussed in the context of exchange rate reform and capital market development.
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