Empirical Analysis of the Impact of Chinese Yuan to US Dollars Exchange Rate on the Shanghai Stock Exchange Composite Index

Yiping Wang ()
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Yiping Wang: University of Illinois Urbana-Champaign, College of Liberal Arts and Sciences

A chapter in Proceedings of the 2024 2nd International Conference on Finance, Trade and Business Management (FTBM 2024), 2024, pp 288-297 from Springer

Abstract: Abstract This study extends from the findings of prior research on Exchange Rates and Stock Composite Exchange Indices and explores the influences of the Chinese Yuan Exchange Rate on the Shanghai Stock Exchange Composite Index based on contemporary data. The study uses the daily data of the Chinese Yuan Exchange Rate and the Shanghai Stock Exchange Composite Index from the Choice Database and utilizes the Vector Autoregression Model and the Impulse Response Function to analyze the impact of the Exchange Rate on the Composite Index with the aid of Stata. The primary focus of this study is to suggest a discernible ability of the Exchange Rate to explain the variations in the Composite Index and inspect for potential explicit explication. The purpose of this study is to use the findings in terms of the temporary and lasting effects of the Exchange Rate shocks on the Composite Index to support investors and policymakers in their decisions. The study also takes a different approach that aligns the interconnections between the Exchange Rate, imports and exports indices, GDP, and Composite Index that indirectly evaluate the relatedness between the first and last variables. This study finds that a change in the exchange rate likely causes a relatively positive shift in the composite index, proposing an increasing intensity of investment or a change in investment strategies and that policymakers should attempt methods that either stabilize the alterations to promote economic stability or activates oscillation to foster long-term growth.

Keywords: Shanghai Stock Exchange Composite Index; Chinese Yuan to US Dollars Exchange Rate; Closing Price; Export and Import; Capital Flow (search for similar items in EconPapers)
Date: 2024
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DOI: 10.2991/978-94-6463-546-1_32

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