The Impact of RMB Exchange Rate Fluctuation on China's Stock Market: An Empirical Analysis of the Data after the 2015 New Exchange Reform in China

Abstract

In this paper we investigate the impact of RMB exchange rate changes on the A-share market after China's 2015 new exchange rate reform. The data selected for the exchange rate of the Shanghai Composite Index and the USD against RMB is from August 11, 2015 to August 11, 2016. After the test of smoothness, we adapt the econometric methods such as Granger causality test, VAR model test, cointegration test, multivariate regression analysis and impulse response analysis to analyze the impact of RMB exchange rate changes on the A-share market Conduction mechanism.