Research on the dynamic correlation between exchange rate market and stock market
Mengxuan Li · Science-technology and Management · 2009
Based on the event of exchange rate regime transformation,long-term and short-term correlation between exchange rate market and stock market is studied in this paper.It is shown that there is a long-term equilibrium correlation between exchange rate and the main stock index.However,there is only one directional short-term Granger causality relation from RMB exchange rate to the A-shares index,and there is no short-term Granger causality relation between exchange rate and B-shares index.