短期国际资本流动对中国沪深股票市场影响的实证研究

发布时间：2018-05-12 01:15

本文选题：短期国际资本 + 中国沪深股市　；参考：《广西大学》2014年硕士论文

【摘要】：直至今日1997年的亚洲金融危机仍历历在目,短期国际资本如猛虎般席卷亚洲多国。随着国际资本流动自由化的趋势,国力的强健和经济的发展,中国的资本市场开放是大势所趋并且步伐会越来越快,吸引的短期国际资本也会越来越多。国内对短期国际资本流动及其对经济影响的研究很多,针对沪深股票市场的影响的研究较少且较为简单,本文在此基础上加深研究,希望对开放中的沪深股票市场的平稳发展和应对短期国际资本冲击提供微弱力量。本文先是从理论部分阐述了短期国际资本的相关基础理论及其对股票市场的作用机理,再深入分析了短期国际资本进出中国大陆的原因、渠道和其对沪深股票市场的影响,利用公式短期资本流动额=外汇储备资产增量-贸易顺差-FDI+隐藏在贸易顺差中的短期国际资本+隐藏在FDI中的短期国际资本测算了流入大陆的短期国际资本的额度,并用于实证分析,采用VAR、ECM、方差分解和脉冲响应函数等实证分析方法,得出的结果是：短期国际资本流动会对中国沪深股票市场的价格波动产生一定的正向影响,且周期一般在1年以下,同时并不是加剧我国股市泡沫的因素。最后本文回顾和总结了国际上和发展中国家应对短期国际资本流动的对策,结合之前的理论分析和实证结果,对中国如何应对短期国际资本流动所带来的冲击提出了一些建议。
[Abstract]:Today, the Asian financial crisis of 1997 is still clear, short-term international capital like Tigers across Asia. With the trend of liberalization of international capital flow, the strong national strength and the development of economy, the opening of China's capital market is the general trend and the pace will be faster and faster, and the short-term international capital will be attracted more and more. There are many domestic researches on short-term international capital flows and their impact on the economy, while the research on the impact of Shanghai and Shenzhen stock markets is relatively few and simple. This paper deepens the research on this basis. It is hoped to provide a weak force for the smooth development of the open stock market in Shanghai and Shenzhen and for dealing with short-term international capital shocks. This paper first expounds the basic theory of short-term international capital and its mechanism of action on the stock market from the theoretical part, and then deeply analyzes the reasons, channels and influence of short-term international capital on the stock market in Shanghai and Shenzhen, and then analyzes the reasons of short-term international capital entering and leaving the mainland of China, and its influence on the stock market of Shanghai and Shenzhen. Using the formula of short-term capital flow = increment of foreign exchange reserve assets, the short-term international capital hidden in the trade surplus, which is hidden in the trade surplus, the short-term international capital hidden in FDI, the amount of short-term international capital flowing into the mainland is calculated. And it is used in empirical analysis, using VARN ECM, variance decomposition and impulse response function. The results are as follows: the short-term international capital flow will have a positive impact on the price volatility of China's stock market in Shanghai and Shenzhen. And the cycle is generally less than one year, at the same time is not exacerbated by the stock market bubble factors. Finally, this paper reviews and summarizes the countermeasures of international and developing countries to deal with the short-term international capital flows. Combined with the previous theoretical analysis and empirical results, some suggestions on how to deal with the impact of short-term international capital flows in China are put forward.
【学位授予单位】：广西大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F831.6;F832.51

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