The Nexus between RMB Exchange Rate Expectation and Domestic Stock Market Return

摘要：

　　This paper investigates the linkages between RMB exchange rate expectation and domestic stock market return.No matter from the perspective of linear and nonlinear Granger causality, only unidirectional causality from exchange rate expectation to domestic stock market return could be found.In general, RMB exchange rate expectation causes the change of domestic stock market return but not vice versa.

关键词： exchange rate expectation nonlinear Granger causality nonparametric test

作者: SHI Kai NIE Li

作者单位: School of Economics, Northeast Normal University, Changchun, China, 130117 Graduate School of Commerce and Management, Hitotsubashi University, Tokyo, Japan, 1868601

会议类型: 国际会议

会议名称: The 9th (2017)International Conference on Financial Risk and Corporate Finance Management(第九届(2017)金融风险与公司金融国际研讨会)

会议地点: 日本

会议语种:英文

页码: 383-386

在线出版日期: 2017-07-01（万方平台首次上网日期，不代表论文的发表时间）