A Study of the Causal Relationship between Real Exchange Rate of Renminbi and Hong Kong Stock Market Index

Autor:	Wai-Choi Lee
Rok vydání:	2012
Předmět:	Exchange rate Index (economics) Granger causality Cointegration Short run Financial economics General Engineering Renminbi Economics Econometrics China Stock market index
Zdroj:	Modern Economy. :563-566
ISSN:	2152-7261 2152-7245
Popis:	This paper attempts to study whether the real exchange rate of Renminbi and stock market index in Hong Kong are related to each other or not. The study uses cointegration and Granger causality tests on the monthly data of the real exchange rate of Renmnibi (RMB) in terms of Hong Kong dollars (REX) and Hang Seng Index (HSI) since the foreign exchange reform of China in July 2005. The major findings of the study are a) the cointegration test shows that there exists a long-run equilibrium relationship between REX and HSI; b) the error correction mechanism further evidences that there is an error correction between REX and HSI in the short run; c) the Granger causality test indicates that there is causal direction from RMB to HSI but not vice versa.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::37adbc680a62d5d7d9b09a3624763243 https://doi.org/10.4236/me.2012.35074 Zobrazit plný text záznamu