The Research on the Spillover Effects between China's Stock Market and Foreign Exchange Market
This paper chooses two indexes of Shanghai composite?index and the exchange rate of RMB against USD and investigates the spillover effects between China's stock market and foreign exchange market through the MGARCH model.The empirical study shows: there exist significant bidirectional spillover effects between the two markets after the regime of exchange rate.In contrast,the spillover effect from foreign exchange market to stock market is more significant than the one from stock market to foreign exchange market,which shows obvious asymmetry effect.Then we carry out an analysis of results from international capital movement and international trade.