The impact of foreign exchange reform on the volatility of China's stock market

被引：0

作者：

Zhang Yanliang ^{[1
]}

Ding Lintao ^{[1
]}

机构：

[1] Shandong Univ Finance, Jinan 250014, Peoples R China

来源：

MODERN FINANCE AND GLOBAL TRADING COOPERATION: PROCEEDINGS OF THE 5TH INTERNATIONAL ANNUAL CONFERENCE ON WTO AND FINANCIAL ENGINEERING | 2008年

关键词：

exchange rate reform; GARCH model; volatility;

D O I：

暂无

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

In this paper, we investigate the change of the volatility of stock market before the exchange rate reform (ERR) and after it, resorting to GARCH models. Our results suggest that ERR indeed affect the stability of stock market and the introduction of the new exchange rate mechanism increases the volatility of the stock market and this increasing effect is due to the acceleration speed of information flowing.

引用

页码：105 / 109

页数：5