중국 심천주식시장에서 환노출이 주가에 미치는 영향 = (The) Impact of Foreign Exchange Exposure on Stock Prices in Chinese Shenzhen Stock Market

다국어 초록 (Multilingual Abstract)

Since the reform of RMB(Ren Min Bi) exchange rates in July 21th, 2005, RMB exchange rates has appreciated 8% by the end of 2007. At the same time, the Shanghai composite index has been to 6124 points on October 16th, 2007 from 998 points on June 6th, 2005. Stock prices continued to rise while the appreciation of RMB exchange rate accelerated. Whether there is a link between RMB exchange rate and stock prices? This thesis makes a comprehensive analysis between the exchange rates and stock prices; then with China's reality, this paper analyzes the relation exsiting between RMB exchange rate and stock prices.
This thesis is examines the relationship between foreign exchange exposure and stock price of China industry index. It used samples of daily data, weekly data and monthly data of yuan-dollar, yuan-yen exchange rate, Shenzhen Composite Index and industrial stock index of Shenzhen stock market for the period 2005/7/21-2008/12/31.
The results analyzed by using multi-factor index model are as follows. First, Yuan/Yen and Yuan/Dollar exchange rate has a negative relationship with industry index. This results indicate that industry index rises when exchange rate falls, in another words, industry index rises when the value of Yuan appreciates. Second, Yuan/Yen exchange rate makes more impact on the stock price of industry than Yuan/Dollar exchange rate. Third, The relationship between exchange rate and stock price of industry is found significantly in daily data. When weekly and monthly data are used the relationship between two variable is weakened. Exchange rate of previous period does not affect on stock price of current period. Forth, Exchange rate makes an impact on the stock price of industry which is related with export and import business. Fifth, with using simple regression model between exchange rate and stock index of industry, exchange rate has a negative relationship with stock index of industry overall, however, exchange rate of previous period has a positive relationship with stock index of industry of current period. This thesis investigates how exchange rate make an impact on the stock price of industry in Chinese Schenzhen stock market as economic regime and financial system change.

목차 (Table of Contents)

• Ⅰ. 서론 1
• 1. 문제의 제기 1
• 2. 연구목적 2
• 3. 연구의 구성 및 범위 4
• Ⅱ. 중국 주식시장 및 환율제도 6
• 1. 중국 주식시장 6
• 2. 중국의 환율제도 8
• Ⅲ. 이론적 배경과 선행연구 11
• 1. 이론적 배경 11
• (1) 양(+)의 상관관계 11
• (2) 음(-)의 상관관계 11
• 2. 선행연구 12
• (1) 외국의 환율과 주가에 관한 연구 12
• (2) 중국의 환율과 주가에 관한 연구 20
• Ⅳ. 데이터 및 연구방법 22
• 1. 데이터 22
• 2. 시계열 자료의 안정성 검정(ADF 단위근검정) 27
• 3. 다요인 모형(multi-factor index model) 28
• Ⅴ. 실증분석 31
• 1. 시계열 자료의 안정성 검정(ADF 단위근검정) 결과 31
• 2. 통화별 환율변동에 따른 산업별 주가지수의 변동 34
• Ⅵ. 요약 및 결론 54
• 참고문헌 56