本研究利用GARCH模型來探討自2006年至2016年之間人民幣匯率、中國上海綜合股價指數、中國深圳綜合股價指數波動之間產生的影響。由AR-GARCH模型實證結果看出,中國深圳綜合股價指數報酬受到前一天人民幣匯率波動係數為0.066大於中國上海綜合股價指數報酬受到前一天人民幣匯率波動係數的0.018。
The study adopted GARCH model to investigate the return and risk transmission effect between RMB exchange rate and the stock returns of Shanghai and Shenzhen stock markets in China. The study period is from 2006 to 2016. The empirical results of AR-GARCH model indicate that the stock return of Shenzhen stock market is influenced by RMB exchange rate more than the stock returns of Shanghai stock market.