人民幣升值後對中國大陸股市之長短期互動影響

Abstract

中國十年來首次允許人民幣兌美元升值，回應美歐對中國低估人民幣帶來不公平的貿易優勢的批評。中國結束了1995年以來實行的人民幣兌美元釘住在8.28元人民幣上下的匯率機制，允許人民幣兌一籃子貨幣浮動，開啟了中國進一步開放金融市場的新紀元。根據2005年7月21日的匯率，人民幣兌美元升值2.1%，報8.11元人民幣。在此之後至今2008年，人民幣持續升值，影響大陸股票市場之大幅上揚以及全國性的物價上漲。本文運用Enders and Granger (1998)和Enders and Siklos (2001)不對稱動能門檻共整測試及動能門檻誤差修正模型(M-TECM)，探討人民幣兌美元升值與大陸上海A股兩者之間是否存在長期不對稱的均衡關係；更且進一部分析由於人民幣持續升值的衝擊，匯率與股價的短期與長期因果關係。研究期間始於西元2005年7月21日至2007年11月30日止，所採用的資料型態為日資料。 本論文實證得到一些有趣的發現。首先，發現大陸股市價格與人民幣匯率間存在著共整關係，表示中國大陸股匯市場投資行徑不符合效率市場假說。另外，本文亦發現大陸股匯之互動存在著非對稱因果關係。而運用動能門檻誤差修正模型所得測試結果，無論長期或短期，均發現人民幣匯率為股價走勢之領先指標，證明了人民幣匯率的升值的確為股價帶來了偌大的影響，然而本文實證中發現的正向影響關係，並不符合「傳統學派」認為匯率貶值，將使出口暢旺，而股市將因之牛市大漲之股匯互動理論假說。此間兩年多來，實務上人民幣升值帶動大陸股市上漲之負向影響關係現象顯著，這可能起因於在上海A股註冊上市之公司多數為進口導向公司，而非出口導向公司。當然，中國大陸十年間的經濟快速成長，令股市與匯市同時受景氣拉動上揚，使股匯互動呈負向影響關係之因素實不可忽略。本論文之研究發現，希能提供投資者與政府相關決策機構作出適當的投資決策及施政參考。

There was a tremendous change of the exchange rate of the Renminbi (RMB) against USD. China’s currency, which for the previous decade had been tightly pegged at 8.28 yuan to the U.S. dollar, was revalued on July 21, 2005 to 8.11 per U.S. dollar. The revaluation of RMB/USD marked the new era of managing floating exchange rates. We are interested in the impact of the appreciation of Renminbi on stock prices in China since the removal of the peg. We first apply momentum threshold cointegration test, which allows for asymmetric adjustment, introduced by Enders and Granger (1998) and Enders and Siklos (2001), to investigate the long-term asymmetric equilibrium relationship between RMB/USD and Chinese stock prices. Furthermore, the momentum threshold error correction model (M-TECM) is adopted to examine the short-term and long-term causal relationships between the two variables considered. Our sample daily data of RMB/USD and Shanghai A share stock prices are running from July 21, 2005 to November 30, 2007. There are few interesting findings in our research. First, we find the presence of cointegration between exchange rates and stock prices, which implies that it is possible to predict one market from another and indicates the inconsistency with the efficient market hypothesis. Second, the empirical result shows that there is a discontinuous adjustment to a long-run equilibrium in two separate regimes. This indicates that there exists an asymmetric causal relationship between the two variables considered. Third, further evidence from M-TECM Granger-Causality test illustrates that there exists a uni-directional causal relationship running from the exchange rates to stock prices both in the short-run and long-run. This proves that the appreciation of RMB/USD has a great impact on stock prices in China. The significant implication of this paper confirms that a credible, gradual appreciation of the RMB/USD leads the dramatic increase of the stock prices in China since the removal of the peg. However, this is not consistent with the traditional approach in the literature, claiming that a depreciation of domestic currency makes local firms more competitive, leading to an increase in their exports and consequently raises their stock prices. The reason why this phenomenon happened is because most companies listed in Chinese A share stock market are importers instead of exporters. We hope that the above findings might provide insightful suggestions for investors and government policy makers.