Fractal Co-integration of RMB Exchange Rate and China’s Stock Price
Nonlinear co-integration method is discussed. According to the generalized fractal co-integration relationship, one form of nonlinear co-integration is proposed based on GPH (Geweke, Porter-Hudak) method. Using the tests of the long-memory characteristic in finance time series, based on daily price series of RMB exchange rate and Shanghai stock markets from July 22, 2005 to April 24, 2009, empirical analysis of their relationship is performed with linear and nonlinear fractional co-integration method. As the results shown, Shanghai stock market and RMB/USD exchange rate series both show the characteristic of longmemory which implicates that Chinas stock markets and RMB exchange rate are non-efficient. Furthermore, the empirical results ague that there tend to be a long-run linear equilibrium relationship and exist bidirectional causal relationship between Chinas stock market and RMB exchange market.
Guangxi Cao Jianhui Yuan
School of Economics and Management, Nanjing University of Information Science & Technology Nanjing 210044, China
国际会议
2010国际混沌、分形理论与应用研讨会(IWCFTA 2010)
昆明
英文
430-434
2010-10-29（万方平台首次上网日期，不代表论文的发表时间）