| Popis: |
The currency exchange market plays a critical role in international trade, but it has fluctuated more frequently since the trade conflict between the U.S. and China. By collecting the daily exchange rate of the U.S. dollar (USD) against the Chinese yuan (RMB) and the NASDAQ OMX China Technology index (CHXN9000) from September 25, 2017, to January 25, 2020, this paper empirically analyzes the dynamic response of the Chinese Concept stock yields to RMB’s exchange rate changes using VAR and ARMA-GARCH models4. The results of the study show that (1) the increasing exchange rate yields of USD to RMB (depreciation of RMB) and the Chinses concept stock yields are negatively correlated in the short term; (2) Chinses concept stock returns respond significantly to the exchange rate volatility, but this effect gradually disappears after the fourth period. These findings may serve as instructive aid to investors in choosing their portfolios while facing exchange rate fluctuations. |
