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Study of the Real Exchange Rate Volatility between the Stock Market based on the Fama-French Model
Wang Yajie *,Duan Yannan #
School of Management, Harbin Institute of Technology, P.R.China
*Correspondence author
#Submitted by
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Funding: none
Opened online:23 May 2014
Accepted by: none
Citation: Wang Yajie,Duan Yannan.Study of the Real Exchange Rate Volatility between the Stock Market based on the Fama-French Model[OL]. [23 May 2014] http://en.paper.edu.cn/en_releasepaper/content/4597385
 
 
With the continuous development and improvement of China's financial market, the factors which influenced stock returns and investment behavior become more and more complex. This paper will build a new capital asset pricing model importing RMB exchange rate volatility factors based on traditional Fama-French Model. It will be applied OLS regression analysis model selecting the stocks of ShenZhen and ShangHai markets from 01/2003 to 12/2013. By doing this, it is found out that Real exchange rate volatility factor is an important factor in the risk premium of A shares and Fama-French model established in our Country. As well Economies of scale and effects of book-market ratio are significant. The Fama-French Model of short-term is more stable than the long-term model.
Keywords:Fama-French model;Real exchange rate volatility factor;Scale factor;Book-Market ratio factor;Market factor
 
 
 

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