国际短期资本净流入对我国证券市场波动性影响的实证研究

发布时间：2018-07-20 17:52

【摘要】：随着国际间的资本流动不断加快以及全球经济一体化和金融市场发展的推动,从外国流入我国的短期资本越来越多。国际短期资本主要是流入我国证券市场,以获得投机性收入。目前国内外针对国际短期资本流动的影响因素、测算方法以及其对各国经济的影响有了一定的研究,但是针对国际短期资本净流入对我国证券市场的影响的研究是不够的,这里所指的证券市场包括股票市场,债券市场和基金市场。之前有学者研究了国际资本流动对证券市场的影响,只是片面的将证券市场等同于股票市场,因此本文希望在以往学者的基础上,加上债券市场和基金市场,对国际短期资本净流入对我国证券市场的影响做进一步研究。本文旨在研究国际短期资本净流入对我国证券市场波动性的影响,首先介绍了国际短期资本的基础理论,利用不同公式对国际短期资本净流入进行测算;然后介绍了我国证券市场的发展状况,利用EGARCH模型对我国证券市场的波动性进行分析,得出我国不同市场的波动性不一样,股票市的波动性大于基金市场大于债券市场的结论,为后文的研究做铺垫;最后利用脉冲响应分析和方差分析探讨国际短期资本净流入与我国证券市场上证指数、深证成指、上证基金指数、深市基金指数、国债指数以及企债指数之间的关系,得出如下结论:(1)在短期内,国际短期资本净流入对我国股票市场和基金市场产生积极影响,对我国债券市场产生消极影响;(2)相比之下,国际短期资本更倾向于选择在在股票市场进行投资,基金市场次之,这与证券市场不同子市场波动性研究的结果相呼应。
[Abstract]:With the acceleration of international capital flow and the promotion of global economic integration and financial market development, more and more short-term capital flows from foreign countries to China. International short-term capital mainly flows into China's securities market to obtain speculative income. At present, there are some researches on the influence factors of international short-term capital flow, measuring methods and its impact on the economy of various countries, but the research on the impact of international short-term net capital inflow on China's securities market is not enough. The securities markets in question include the stock market, the bond market and the fund market. Previously, some scholars studied the impact of international capital flows on the securities market, only unilaterally equating the securities market with the stock market. Therefore, this paper hopes to add the bond market and the fund market on the basis of previous scholars. The impact of net international short-term capital inflows on China's securities market is further studied. The purpose of this paper is to study the impact of international short-term net capital inflow on the volatility of China's securities market. Firstly, the basic theory of international short-term capital is introduced, and different formulas are used to measure the international short-term net capital inflow. Then it introduces the development of China's securities market, analyzes the volatility of China's securities market by EGARCH model, and draws the conclusion that the volatility of different markets is different, and the volatility of stock market is greater than that of fund market than that of bond market. Finally, by using impulse response analysis and variance analysis, the paper discusses the relationship between the net inflow of international short-term capital and the index of Shanghai Stock Exchange, Shenzhen Stock Exchange Index, Shanghai Stock Exchange Fund Index, Shenzhen Stock Exchange Fund Index, and Shenzhen Stock Exchange Fund Index. The relationship between national debt index and enterprise debt index, draw the following conclusions: (1) in the short term, net international capital inflow has a positive impact on China's stock market and fund market, and has a negative impact on China's bond market; (2) in contrast, the international short-term capital inflow has a negative impact on China's bond market. International short-term capital is more inclined to invest in the stock market, followed by the fund market, which is consistent with the results of the research on the volatility of different sub-markets in the securities market.
【学位授予单位】：集美大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51

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