在此情况下，首先从理论角度出发，全面分析汇率和股票市场之间的影响机
制，并结合中国实际情况，对人民币汇率和中国股票市场间的关系以及人民币汇
率波动对中国股票市场上市公司的影响进行客观分析。然后选取2005年7月22
日至2011年12月31日之间的人民币兑美元名义汇率、A股市场指数、H股市场
指数的日数据对人民币汇率波动和中国股票市场价格之间的关系进行实证研究。
最后以2005年7月至2011年12月为研究期，选取月度数据，采用Jorion模型
和面板数据模型，对人民币汇率波动对A股和H股股票收益率的影响进行研究，
并进一步分析了人民币汇率波动对两个市场上各行业以及A+H股交叉上市公司
股票收益率的影响。
研究结果显示，A股、H股指数均与人民币汇率呈正向关系，即与人民币升
值相伴的是A股和H股指数的上涨。且无论从市场整体角度还是分行业角度来看，
两个市场上研究对象的股票收益率均受到来自人民币升值的负面影响，即人民币
升值将导致A股和H股股票收益率下降。此外，对于A+H股上市公司，总体看
来A股股票收益率受到人民币汇率变动的影响更大。总体来看，A股股票收益率
受到人民币升值的冲击大于H股，但各行业的影响系数存在一定差别。最后，根
据研究结论，有针对性地提出政策性建议。
关键词：人民币汇率；股票价格；股票收益率；上市公司
Abstract
RMB has been in a rising state since China implemented a new currency reform
on July 21, 2005. At the same time, China stock markets have experienced some large
changes under complex effects. Accompanied by increasingly financial openness and
reform in China, the link between the RMB exchange rate and stock prices is closer,
which is widely concerned by academics as well as businessmen, and many theoretical
and empirical researches have been carried out. However, because of many
restrictions, related researches in China is weak. Accordingly, it is of great theoretical
and practical significances to further research on the relationship between the RMB
exchange rate and China stock markets.
In this case, we firstly comprehensively analyze the influence mechanism
between the exchange rate and the stock market from the angle of theory and analyze
the relationship between the RMB exchange rate and Chinese stock markets
combining with Chinese actual situations. Then we select daily data of RMB-USD
nominal exchange rate, A share market index and H share market index between July
22, 2005 and December 31, 2011, and use the data to make an empirical research on
the relationship between RMB exchange rate fluctuations and of Chinese stock market
prices. Finally, we select monthly data between July 2005 and December 2011, and
use Jorion Model and Panel Data Model to evaluate the effect that RMB exchange rate
fluctuations in the A share and H share stock returns. Moreover, we turn to the 10
industries in the two markets as well as A+H cross-listed companies to estimate
connections between their stock returns and RMB exchange rate fluctuations.
The results show that RMB exchange rate is positively correlated with both A
share and H share market indexes, which also means that the rise of the two indexes
accompanies with appreciation of the RMB. However, stock returns is negatively
affected by RMB appreciation from both the perspective of the overall market and
single industry, which means the appreciation of the RMB will bring down stock
returns. Besides, as to the A+H listed companies, the return of A share companies is
more likely to be impacted by the RMB exchange rate than the H share. On the whole,
the A share stock returns is harder hit by RMB appreciation than H share. According
to the results, we make several policy recommendations with special focus and aims.
Key Words: RMB Exchange Rate; Stock Price; Stock Return; Listed Companies
。。。
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