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本文在开放视角下研究汇率、QFII投资与股票价格之间的关系,有助于理解资产价格之间的联动关系,对于化解系统性金融风险、建立有效率的资本市场具有重要意义。文章运用VAR模型实证研究发现,QFII投资和股票价格指数同方向变化,长期内具有正向引导作用。汇率对股票市场影响具有一定的异质性特征——与上证指数正相关,与深成指负相关,这一异质性机理源于两市市场有效性程度。
This paper studies the relationship between exchange rate, QFII investment and stock price from an open perspective, which helps to understand the linkage between asset prices and is of great significance for resolving systemic financial risks and establishing an efficient capital market. Empirical study using VAR model found that, QFII investment and stock price index changes in the same direction, the long-term positive guidance. The impact of exchange rate on the stock market has certain heterogeneity-positive correlation with Shanghai Composite Index and negative correlation with Shenzhen Component Index. The heterogeneous mechanism originates from the market effectiveness of the two markets.