Research on Information Spillover Effect of the RMB Exchange Rate and Stock Market Based on R-Vine Copula
Joint Authors
Wu, Xiaofei
Zhu, Shuzhen
Wang, Suxue
Source
Issue
Vol. 2020, Issue 2020 (31 Dec. 2020), pp.1-12, 12 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2020-05-18
Country of Publication
Egypt
No. of Pages
12
Main Subjects
Abstract 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.
American Psychological Association (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
Modern Language Association (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
American Medical Association (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
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1141038