The relationships between Shanghai stock market and CNY/USD exchange rate: New evidence based on cross-correlation analysis, structural cointegration and nonlinear causality test

► The Shanghai stock market and the exchange rate of CNY/USD are significantly cross-correlated. ► The cointegration in recent literature is artificially caused by the recent financial crisis. ► There was no causality relationship between exchange rate and the stock market before the global financial crisis. ► There are both linear and nonlinear causality relationships from exchange rates to stock market after the financial crisis.