How do Changes in Exchange rate Affect HUAWEI Concept Index: Evidence from Time Series Analysis

Mingming Li

Chapter 65 in Economic Management and Big Data Application:Proceedings of the 3rd International Conference, 2024, pp 734-746 from World Scientific Publishing Co. Pte. Ltd.

Abstract: To control domestic inflation, the Federal Reserve raised interest rates several times in 2022, which caused the appreciation of the US dollar and the depreciation of the RMB in a short period. As two important financial indicators, the relationship between the exchange rate and stock price is of great theoretical and practical significance for China to formulate corresponding macroeconomic regulations and prevent the birth of financial risks. This paper utilizes the VAR model, impulse response function, ARMA-GARCH model, and other statistical methods to select two representative data sets of the RMB/USD exchange rate and the Huawei concept index as research objects. The purpose is to test whether there is a correlation between them and the degree of influence and to focus on the long-term stability of the price fluctuation relationship between the foreign exchange market and the Huawei index. The impulse response function is used to dynamically describe the short-term impact of foreign currency exchange rate and Huawei concept index fluctuation. According to the empirical results of this paper, some suggestions are provided for policymakers. This paper also establishes the ARMA-GARCH model for Huawei concept index and analyzes and predicts its volatility. The prediction results can provide some reference for investors to judge the short-term trend of Huawei concept index and make investment decisions.

Keywords: Big Data; Information Management; Economic; Data Applications; Blockchain; E-commerce (search for similar items in EconPapers)
JEL-codes: C63 C8 O14 (search for similar items in EconPapers)
Date: 2024
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