人民币汇率、沪港通交易与股指波动

伴随着沪港通等资本市场开放政策的深入实施,人民币汇率、外资流动与内地股市间的联动效应将如何演变?本文运用SV-TVP-SVAR模型深入考察研究了人民币汇率、沪股通资金净流入与上证50指数三者之间互动关系的时变特征,研究发现:从同期关系看,人民币汇率贬值显著负向影响着沪股通资金净流入和上证50指数,而沪股通资金净流入对上证50指数有着显著正向影响;从时变脉冲响应走势看,人民币汇率贬值总体上导致了沪股通资金净流出,并拖累了上证50指数表现;沪股通资金流入对人民币汇率贬值有着显著的时变影响,且推高了上证50指数;上证50指数上涨导致了人民币汇率升值和沪股通资金流出,证实了沪股通资金的逆向投资风格.因此本文的实证结果首次刻画了人民币汇率、沪股通交易与内地股市三者之间的联动效应,然后提出了维护人民币汇率基本稳定、完善沪港通交易机制和促进资本市场健康发展相关政策建议.

The exchange rate of RMB,SH-HK stock connect trading and stock index volatility

With the further implementation of capital market opening policies,how will the linkage effect between RMB exchange rate,foreign capital flows and mainland stock market evolve?This paper studies the time-varying characteristics of the dynamic relationship among RMB exchange rate,Shanghai-tong and Shanghai-50 index based on SV-TVP-SVAR model.We find that from the perspective of current relationship,RMB exchange rate significantly and negatively influenced the net inflow of Shanghai-tong and Shanghai-50 index,and the net inflow of Shanghai-tong have a significant positive impact on Shanghai-50 index.From the perspective of impulse response,the depreciation of RMB has generally led to net outflow of Shanghai-tong and dragged down Shanghai-50 index.The net inflow of Shanghai-tong has a significant time-varying impact on the depreciation of RMB and promotes the rise of Shanghai-50 index.The rise of Shanghai-50 index led to the appreciation of RMB and the outflow of Shanghai-tong,confirmed the reverse investment style of Shanghai-tong fund.In this paper,we first described the linkage effect among RMB exchange rate,Shanghai-tong trading and mainland market,and put forward some targeted policies to improve SH-HK stock connect trading mechanism,maintain the stable of RMB exchange rate and promote the healthy development of capital market.