中文摘要：

运用协整检验、Granger因果检验、向量误差修正模型、方差分解等对金融危机发生前和金融危机发生后中国汇市和股市的关联效应进行实证研究，结果表明无论从短期还是从长期看，金融危机发生前汇率是股价的单向Granger原因，汇率对股价波动的影响较大，股价对汇率的波动影响很小。而在金融危机发生后，汇率和股价存在着双向的因果关系，汇率对股价波动的影响以及股价对汇率波动的影响都较大。金融危机发生后汇市和股市的关联效应明显增强。

英文摘要：

This paper investigates the co-movement of stock market and foreign exchange market in China before the financial crisis and after the financial crisis respectively by using Cointegration Test, Granger Test, ECM and variance decomposition. It shows： no matter in short-term or long term, before the financial crisis, exchange rate leads stock prices one-way. The exchange rate has great influence on stock price while the stock price brings relatively slight effects to the exchange rate, However, after the financial crisis, the stock price has a larger effect on the exchange rate. The exchange rate and the stock price are more correlative.