On the Correlation between RMB Exchange Volatility and Stock Price Returns
基于2005年7月至2007年9月数据，用GARCH模型分析人民币汇率波动对中国股票收益的负向影响，提醒政策制定者关注外汇市场对股市的作用。
Based on the GARCH model and the data of stock price and the nominal exchange rate of RMB a- gainst US $ from July 21,2005 to September 18,2007,the paper studies the impact of RMB exchange volatili- ty on stock price returns in China.The empirical analyses indicate that there was negative impact of the RMB exchange volatility on the stock price returns.Therefore,in the macro-economic policy,the effect of foreign ex- change market on the stock market should be paid much attention.