人民幣匯改對上證A股的關聯分析

The Correlation Analysis of the Renminbi Reform on the Shanghai A-share Index

蔡佩恩(Pei-En Tsai)

指導教授 ： 李沃牆

共同指導教授 ： 李喬銘(Joe-Ming Lee)

淡江大學/商管學院/財務金融學系碩士班/碩士(2016年)

https://doi.org/10.6846/TKU.2016.00148

摘要

2008年金融海嘯席捲全球，美國、歐洲與日本等已開發國家紛紛受到重創，而規模最大的新興經濟體中國市場，卻相較地受到較小衝擊。 2015年中國股災、人民幣匯率中間價機制改革與人民幣納入SDR等，都為全球幾大受矚目之經濟事件，對於該市場在全球扮演重要性之地位的提升以及該國貨幣自由化的發展趨勢，應是投資人首要關注的重點。
本文主要探討隨著全球化發展下，日漸開放之中國市場，其國內之外匯市場改革前後，利用Copula關聯分析方法，探討匯率市場與股票市場之間的傳染效果。 實證結果顯示，在2012年4月16日至2014年3月17日及2015年8月12日至2016年4月30日兩個資料區間，人民幣匯率與上證A股呈現負相關。表示當人民幣貶值時，上證A股相對應下跌；而2014年3月18日至2015年8月11日則為正相關，可知人民幣匯率與上證A股之間並無特定關係。此外，檢定兩次人民幣匯改後之傳染效果，得出人民幣匯率與上證A股確實存在傳染效果，意涵人民幣匯改對上證A股確實帶來影響。

關鍵字

Copula ； 關聯結構 ； 傳染效果 ； 中國匯改 ； 上證A股指數

並列摘要

After financial crisis in 2008, the United States, Europe and Japan and other developed countries have badly been hit. By contrast, China market, the largest emerging economies, has relatively been affected less. Several of the China’s economy event, such as Chinese stock market turbulence in 2015, perfection of a midpoint rate determination mechanism and Chinese Renminbi to Be Included in IMF’s Special Drawing Right Basket , have now become the focal point around the world.
The purpose of this study is to investigate whether a contagion effect exists between the Renminbi exchange rate and the Shanghai A-share Index after the Renminbi Reform. In empirical study, we apply Copula model to find the best dependence of the Renminbi exchange rate and the Shanghai A-share Index through the optimization of Copula functions and try to explain economic implications. The empirical results are as following:
1.The correlation coefficient between the Renminbi exchange rate and Shanghai A-share Index are negative in April 16, 2012 to March 17, 2014 and August 12, 2015 to April 30. It means that when Renminbi are depreciation, the Shanghai A-share stock are going downward.
2.The correlation coefficient between the Renminbi exchange rate and Shanghai A-share Index is negative in March 18, 2014 to August 11 2015.
3.The correlation of the Renminbi exchange rate and the Shanghai A-share Index is significant increase. It means that there is a spillover effect between two variables.

並列關鍵字

Copula ； Relational structure ； Contagion effect ； Renminbi Reform ； Shanghai A-share Index

參考文獻

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