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    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/72570

    Title: The Impact of the Appreciation of Renminbi on Stock Prices in China
    Authors: Nieh, Chien-Chung;Yau, Hwey-Yun
    Contributors: 淡江大學財務金融學系
    Keywords: asymmetric causality;exchange rates;momentum threshold error-correction model;M-TECM;stock prices
    Date: 2010-01
    Issue Date: 2011-10-24 10:34:01 (UTC+8)
    Publisher: Armonk: M.E. Sharpe, Inc.
    Abstract: Since removal of the peg in July 2005, China has entered a new era of a managed floating exchange rate system. Although many observers have raised concerns about the impact of such a policy change on China's trade surplus, less attention has been paid to its effects on financial markets. This paper investigates the impact of recent renminbi appreciation on stock prices in China since removal of the peg, using threshold cointegration and momentum threshold error-correction model (M-TECM). The results clearly illustrate that no short-run causal relation exists, and an asymmetric causal relationship running from the renminbi/U. S. dollar exchange rate to Chinese Shanghai A-share stock prices in the long run is based on M-TECM. Policy and the broader implications of the findings are discussed.
    Relation: Emerging Markets Finance and Trade 46(1), pp.16-26
    DOI: 10.2753/REE1540-496X460102
    Appears in Collections:[財務金融學系暨研究所] 期刊論文

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