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Research on Information Spillover Effect of the RMB Exchange Rate and Stock Market Based on R-Vine Copula
المؤلفون المشاركون
Wu, Xiaofei
Zhu, Shuzhen
Wang, Suxue
المصدر
العدد
المجلد 2020، العدد 2020 (31 ديسمبر/كانون الأول 2020)، ص ص. 1-12، 12ص.
الناشر
Hindawi Publishing Corporation
تاريخ النشر
2020-05-18
دولة النشر
مصر
عدد الصفحات
12
التخصصات الرئيسية
الملخص EN
This paper studies the dependence structure and information spillover effect between the RMB exchange rate and the Chinese stock market based on the R-vine copula model and spillover index model.
The results show that due to the occurrence of the trade war, the correlation between the three RMB exchange rate indicators and the two stock market indicators increases in varying degrees.
In the intensity of spillover, the information spillover of the stock market to the RMB exchange rate is significantly enhanced, and the information spillover intensity of the RMB Index to the stock market increases, but the information spillover of the US dollar and Hong Kong dollar exchange rates to the stock market is significantly weakened.
In the direction of spillover, the spillover of the RMB Index and stock market shows the characteristics of alternating transformation, while the exchange rate of a single currency and the stock market shows a one-way transmission from the stock market to the exchange rate.
Additionally, the information spillover between the RMB exchange rate and the stock market is closely related to the degree of market openness.
The RMB Index contains more information than the exchange rate of a single currency.
نمط استشهاد جمعية علماء النفس الأمريكية (APA)
Wu, Xiaofei& Zhu, Shuzhen& Wang, Suxue. 2020. Research on Information Spillover Effect of the RMB Exchange Rate and Stock Market Based on R-Vine Copula. Complexity،Vol. 2020, no. 2020, pp.1-12.
https://search.emarefa.net/detail/BIM-1141038
نمط استشهاد الجمعية الأمريكية للغات الحديثة (MLA)
Wu, Xiaofei…[et al.]. Research on Information Spillover Effect of the RMB Exchange Rate and Stock Market Based on R-Vine Copula. Complexity No. 2020 (2020), pp.1-12.
https://search.emarefa.net/detail/BIM-1141038
نمط استشهاد الجمعية الطبية الأمريكية (AMA)
Wu, Xiaofei& Zhu, Shuzhen& Wang, Suxue. Research on Information Spillover Effect of the RMB Exchange Rate and Stock Market Based on R-Vine Copula. Complexity. 2020. Vol. 2020, no. 2020, pp.1-12.
https://search.emarefa.net/detail/BIM-1141038
نوع البيانات
مقالات
لغة النص
الإنجليزية
الملاحظات
Includes bibliographical references
رقم السجل
BIM-1141038
قاعدة معامل التأثير والاستشهادات المرجعية العربي "ارسيف Arcif"
أضخم قاعدة بيانات عربية للاستشهادات المرجعية للمجلات العلمية المحكمة الصادرة في العالم العربي
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