Do short-term international capital movements play a role in exchange rate and stock price transmission mechanism in China?

被引：8
|
作者：
Li, Xin [1 ]
Su, Chi-Wei [2 ]
Chang, Hsu-Ling [3 ]
Ma, Ji [4 ]
机构：
[1] Shanghai Jiao Tong Univ, Antai Coll Econ & Management, Shanghai, Peoples R China
[2] Qingdao Univ, Sch Econ, 308 Ningxia Rd, Qingdao, Shandong, Peoples R China
[3] Ling Tung Univ, Dept Accounting & Informat, Taichung, Taiwan
[4] Oecan Univ China, Dept Finance, Qingdao, Peoples R China
来源：
INTERNATIONAL REVIEW OF ECONOMICS & FINANCE | 2018年 / 57卷
关键词：
Exchange rate; Short-term international capital movements; Stock price; Wavelet analysis; REAL-ESTATE; RETURNS; MODEL; COHERENCE; WAVELETS; REFORM; FLOWS;
D O I：
10.1016/j.iref.2018.02.010
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
This paper applies wavelet analysis to investigate the role of short-run international capital movements (SICM) in the interaction mechanism between the exchange rate and stock prices (SP). The bilateral co-movements between these three variables are time-varying and inconsistent in some periods, and the flow of SICM is insufficient to explain the difference between the results obtained by testing SP and exchange rate nexus alone and then testing it taking SICM as a control variable, thus indicating a limited mediating role for SICM. However, SICM still cannot be ignored with the process of Renminbi internationalization and capital account liberalization.
引用
收藏
页码：15 / 25
页数：11
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