短期国际资本流动对中国股市影响的实证分析

发布时间：2018-01-07 00:16

本文关键词：短期国际资本流动对中国股市影响的实证分析　出处：《东北师范大学》2013年硕士论文　论文类型：学位论文

【摘要】：国际短期资本的频繁进出,容易对一国的经济产生较大冲击,引发货币危机与金融危机,特别是在世界经济高度一体化的今天,国际短期资本的流动渠道更加隐秘,规模更加庞大,其破坏性也更强。短期国际资本流动已成为世界各国关注的焦点话题。短期国际资本由于具有高强度的流动性,追逐短期高额利润,往往会引起股市的剧烈震荡,严重的时候更可能引发金融危机。中国虽然是世界上最大的新兴经济体,然而金融体系不够完善,因而经常面临短期国际资本引发的经济冲击。格兰杰因果检验表明,我国的短期国际资本流动与中国股市波动存在单向的格兰杰因果关系。而对短期国际资本流动与美国股市波动进行格兰杰因果检验的结果表明,一定时期内我国的短期国际资本流动与美国的股市波动互为二者的格兰杰原因,因此可以推断出美国等发达经济体的股市波动可能通过短期国际资本的跨境流动影响我国。进行门限自回归条件异方差分析时,构建了四个指标,研究后发现,美国股市通过短期国际资本大量频繁出入我国这个渠道影响中国股市,导致其受到的冲击成倍放大,中美两国股市收益率的差额在其中起到了重要作用。
[Abstract]:The frequent entry and exit of international short-term capital can easily impact the economy of a country, and cause currency crisis and financial crisis, especially today when the world economy is highly integrated. The flow channels of international short-term capital are more secret, larger and more destructive. Short-term international capital flows have become the focus of the world. Short-term international capital, because of its high intensity of liquidity, chasing short-term high profits, will often cause sharp fluctuations in the stock market. China is the world's largest emerging economy, but its financial system is not perfect enough to be subject to short-term international capital shocks. Granger causality test shows. There is a one-way Granger causality relationship between the short-term international capital flow and the volatility of Chinese stock market, and the result of Granger causality test of short-term international capital flow and the volatility of American stock market shows. In a certain period of time, the short-term international capital flow of our country and the fluctuation of American stock market are each other's Granger reasons. Therefore, it can be inferred that stock market volatility in developed economies such as the United States may affect China through short-term cross-border flows of international capital. In the process of threshold autoregressive conditional heteroscedasticity analysis, four indexes are constructed, and it is found that the American stock market influences the Chinese stock market through a large number of short-term international capital frequently entering and leaving our country. As a result, the impact was magnified, with the difference in yields between China and the United States playing an important role.
【学位授予单位】：东北师范大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F831.7;F832.51

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