Analysis of the Linkage between China's Exchange Rate and Stock Price Index - Based on Wavelet Analysis

Hsueh, Hsin-Pei; Li, Fangjhy; Wu, Cheng-Feng

doi:10.1145/3355966.3355983

Cited by 1 publication

(1 citation statement)

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“…Through empirical research, many researchers advocated that there was causality between the exchange market and the stock market [11], [17], [20], [23], [28]. Hsueh studied the correlation between China's exchange rate and the Shanghai A-share stock price index [7]. And in this work, data from 1996 to 2016 were analyzed to prove that there was a significant correlation between the two.…”

Section: Literature Review a Studies On The Relationship Between Stock Market And Exchange Rate Marketmentioning

confidence: 99%

Linkages Between Chinese Stock Price Index and Exchange Rates-An Evidence From the Belt and Road Initiative

Yuan

Shi

et al. 2020

IEEE Access

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This paper selects the daily data of the exchange rates of Chinese Yuan (CNY) over the currencies of 14 countries along the Belt and Road, Shanghai composite index and Shenzhen composite index to study the influence of the Belt and Road Initiative on the linkages between exchange rates and Chinese stock index based on the flow-oriented model and the stock-oriented model. To reflect the fluctuations in daily data and reduce the central bank's interference with the exchange rate, two fuzzy techniques are used to process data, that is, the centroid based measure and the integral based measure. Then we judge the relationship between exchange rate and stock index through the Pearson correlation coefficient and the Granger causality test. Besides, we further compare the results and their differences by the classic crisp method and our two fuzzy techniques, which enable us to judge their correlation more accurately, and provide a reference for a wider application of the proposed fuzzy methods. We find that there is a correlation between exchange rate and stock index under certain conditions, and the Belt and Road initiative strengthens the relationship between the Chinese foreign exchange market and the stock market, more importantly, the fuzzy techniques are effective to judge this relation. INDEX TERMSStock price index, exchange rate, fuzzy techniques, the Belt and Road initiative.

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Section: Literature Review a Studies On The Relationship Between Stock Market And Exchange Rate Marketmentioning

confidence: 99%

Linkages Between Chinese Stock Price Index and Exchange Rates-An Evidence From the Belt and Road Initiative

Yuan

Shi

et al. 2020

IEEE Access

View full text Add to dashboard Cite

show abstract

Analysis of the Linkage between China's Exchange Rate and Stock Price Index - Based on Wavelet Analysis

Cited by 1 publication

References 10 publications

Linkages Between Chinese Stock Price Index and Exchange Rates-An Evidence From the Belt and Road Initiative

Linkages Between Chinese Stock Price Index and Exchange Rates-An Evidence From the Belt and Road Initiative

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