Impact of Exchange rate on Stock returns in Shenzhen Stock Exchange: Analysis through ARDL approach

Abstract

This research investigates the influence of exchange rate on the stock returns of Shenzhen stock exchange from January 2008 to December 2018 by utilizing ARDL model for checking the short run and the long run association between the study variables.  The estimated ARDL results indicate that exchange rate has a negative and significant influence on the stock returns of Shenzhen stock exchange. Inflation and interest rate results indicate a negative and statistically significant effect on the stock returns. Based on the estimated results of this study it is recommended that the policy makers in Central bank needs to make such policies that helps to stabilize the exchange rate.