Proceedings of the 2018 International Conference on Economy, Management and Entrepreneurship (ICOEME 2018)

An Empirical Analysis on the Impact of RMB Exchange Rate Fluctuation on Stock Index Futures Taking Shanghai and Shenzhen 300 Stock Indexes as an Example

Authors
Li Jiehui, He Jinlan
Corresponding Author
Li Jiehui
Available Online November 2018.
DOI
https://doi.org/10.2991/icoeme-18.2018.1How to use a DOI?
Keywords
VAR model; stock index futures; cointegration relationship
Abstract
Using the measurement method to study the fluctuation of RMB exchange rate will have a series of profound effects on stock index futures. This paper will take the Shanghai and Shenzhen 300 stock index futures as the example. In this paper, the author will establish a three-variable VAR model: US dollar, Euro, and Japanese yen exchange rate against RMB to analyze the impact of RMB exchange rate fluctuations on stock index futures. The empirical test shows that after the "811" exchange rate reform, there is no long-term stable cointegration relationship between RMB exchange rate changes and stock index futures. According to the results of impulse response function analysis, there is linkage between China's exchange rate fluctuations and Shanghai and Shenzhen 300 stock index futures price. From the current point of view, the impact is still very limited.
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Proceedings
2018 International Conference on Economy, Management and Entrepreneurship (ICOEME 2018)
Part of series
Advances in Economics, Business and Management Research
Publication Date
November 2018
ISBN
978-94-6252-618-1
ISSN
2352-5428
DOI
https://doi.org/10.2991/icoeme-18.2018.1How to use a DOI?
Open Access
This is an open access article distributed under the CC BY-NC license.

Cite this article

TY  - CONF
AU  - Li Jiehui
AU  - He Jinlan
PY  - 2018/11
DA  - 2018/11
TI  - An Empirical Analysis on the Impact of RMB Exchange Rate Fluctuation on Stock Index Futures Taking Shanghai and Shenzhen 300 Stock Indexes as an Example
BT  - 2018 International Conference on Economy, Management and Entrepreneurship (ICOEME 2018)
PB  - Atlantis Press
SP  - 1
EP  - 8
SN  - 2352-5428
UR  - https://doi.org/10.2991/icoeme-18.2018.1
DO  - https://doi.org/10.2991/icoeme-18.2018.1
ID  - Jiehui2018/11
ER  -