Abstract
In order to study the relationship between RMB exchange rate and Chinese stock markets, this article makes the theoretical analysis and empirical analysis, which is based on Johansen cointegration test and Granger causality test. The data include 11 Chinese industry sectors. The results show that the relation between RMB exchange rate and the logarithm of three Chinese sector indexes, containing textiles, pharmaceutical business and general machinery, exists long-term cointegration relationship, and the change of RMB exchange rate is the Granger cause of these Chinese sector indexes; however, RMB exchange rate has no significant cointegration relationship with eight Chinese sector indexes, containing paper, real estate, financial services, air transport, iron and steel, non-ferrous metals refining, petrochemical and trade. Finally, this article makes an analysis on the empirical results and presents some policy suggestions.
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