热钱、货币流动性对我国证券股票市场冲击效应分析

发布时间：2018-01-02 10:20

本文关键词：热钱、货币流动性对我国证券股票市场冲击效应分析　出处：《浙江工商大学》2013年硕士论文　论文类型：学位论文

【摘要】：随着经济全球化的发展,国际热钱通过各种途径进出我国资本市场和金融市场,庞大的热钱规模以及其高度的流动性和逐利性使得国际金融市场日益动荡不安。就我国而言,在我国经济不断开放、金融体制不断加深的今天,国际热钱对我国金融市场所带来的冲击效应值得我们深入研究。国际热钱的大量流入流出可能会导致我国国内流动性的过度膨胀或过度紧缩,从而对我国的实体经济和金融市场带来冲击,造成股价的大幅度动荡,不利于经济的平稳发展。一方面,国际热钱的流入或流出会导致国内货币流动性的增加或减小,从而影响我国货币政策的有效性；另一方面热钱流动首先影响到的是我国的金融市场,热钱流动会影响股票价格的波动。本文把将股票市场的价格——股价指数作为金融市场的代表性领域,将热钱流动、货币流动性和上证股指三个变量相联系,从而考察热钱流动对我国金融市场的影响。本文主要运用回归分析、对比分析的研究方法,并建立中介效应模型和调节效应模型来分析热钱流动对我国上证股指的影响机制。首先本文利用EViews6软件对相关数据进行单位根检验以及协整检验,研究结果表明货币流动性与上证股指之间存在着长期均衡关系,国际热钱流动与我国上证股指之间也存在着长期均衡关系,并通过对比分析发现货币流动性对上证股指的影响程度要比热钱流动对上证股指的影响程度大。在此基础上建立热钱流动、货币流动性对上证股指的中介效应模型。经数据验证表明热钱流动不仅直接影响我国上证股指的变化,而且还通过影响货币流动性这个中介变量间接影响我国的上证股指。这其中的中介效应与直接效应之比为935.09%,中介效应与总效应之比为90.34%,中介效应占了总效应的绝大部分比重。最后,建立调节效应模型,结果表明货币流动性在热钱流动对上证股指的影响机制中所起的调节效应不显著。货币流动性对上证股指的主效应是显著的,即货币流动性的变化会改变上证股指。但货币流动性所起的调节效应不显著,也就是说货币流动性的变化不会改变热钱对上证股指的影响程度。本文的最终结论认为国际热钱的流动首先影响的是我国的货币流动性,继而影响我国的证券市场,货币流动性在热钱对上证股指的影响机制中起到中介作用。因此,我国货币流动性可能会对热钱冲击证券市场起到屏障作用。热钱对我国证券市场的影响效应并没有人们担心的那么大,我国央行完全有能力通过国内货币政策对国际热钱的流动进行对冲调控,从而稳定我国金融市场。
[Abstract]:With the development of economic globalization , international hot money enters and exits China ' s capital market and financial market through various ways , the huge scale of hot money and its high liquidity and profit make the international financial market increasingly volatile . As far as our country is concerned , the impact of international hot money on our financial market is worth studying deeply . On the one hand , the inflow or outflow of international hot money can increase or decrease the liquidity of domestic money , thus affecting the validity of China ' s monetary policy . On the other hand , the flow of hot money affects the fluctuation of stock price . This paper mainly uses regression analysis and comparative analysis method , and establishes an intermediary effect model and an adjustment effect model to analyze the effect mechanism of hot money flow on the stock index in China . On the basis of this , a model of the medium effect of hot money flow and currency liquidity on the stock index in China is established . The data verification shows that the flow of hot money directly affects not only the change of the stock index in China , but also indirectly affects the stock index of our country by influencing the liquidity of money . The ratio of the intermediation effect to the direct effect is 935.09 % , the ratio of the intermediation effect to the total effect is 90.34 % , and the intermediation effect accounts for the most part of the total effect . Finally , an adjustment effect model is established . The results show that the effect of currency liquidity is not significant in the mechanism of the impact mechanism of the stock index . The main effect of liquidity on the stock index is obvious , that is , the change of liquidity can change the stock index . The final conclusion of this paper is that the flow of international hot money is the first to affect China ' s currency liquidity , which in turn affects China ' s securities market . Money fluidity plays an intermediary role in the impact mechanism of hot money on the stock index . Therefore , China ' s central bank has the ability to regulate the flow of international hot money through domestic monetary policy , thus stabilizing our financial market .

【学位授予单位】：浙江工商大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51;F831.7;F224

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