【摘要】：隨著國際間的資本流動不斷加快以及全球經(jīng)濟一體化和金融市場發(fā)展的推動,從外國流入我國的短期資本越來越多。國際短期資本主要是流入我國證券市場,以獲得投機性收入。目前國內(nèi)外針對國際短期資本流動的影響因素、測算方法以及其對各國經(jīng)濟的影響有了一定的研究,但是針對國際短期資本凈流入對我國證券市場的影響的研究是不夠的,這里所指的證券市場包括股票市場,債券市場和基金市場。之前有學(xué)者研究了國際資本流動對證券市場的影響,只是片面的將證券市場等同于股票市場,因此本文希望在以往學(xué)者的基礎(chǔ)上,加上債券市場和基金市場,對國際短期資本凈流入對我國證券市場的影響做進一步研究。本文旨在研究國際短期資本凈流入對我國證券市場波動性的影響,首先介紹了國際短期資本的基礎(chǔ)理論,利用不同公式對國際短期資本凈流入進行測算;然后介紹了我國證券市場的發(fā)展狀況,利用EGARCH模型對我國證券市場的波動性進行分析,得出我國不同市場的波動性不一樣,股票市的波動性大于基金市場大于債券市場的結(jié)論,為后文的研究做鋪墊;最后利用脈沖響應(yīng)分析和方差分析探討國際短期資本凈流入與我國證券市場上證指數(shù)、深證成指、上證基金指數(shù)、深市基金指數(shù)、國債指數(shù)以及企債指數(shù)之間的關(guān)系,得出如下結(jié)論:(1)在短期內(nèi),國際短期資本凈流入對我國股票市場和基金市場產(chǎn)生積極影響,對我國債券市場產(chǎn)生消極影響;(2)相比之下,國際短期資本更傾向于選擇在在股票市場進行投資,基金市場次之,這與證券市場不同子市場波動性研究的結(jié)果相呼應(yīng)。
[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.
【學(xué)位授予單位】：集美大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2017
【分類號】：F832.51

【參考文獻】

相關(guān)期刊論文 前10條

1 許一涌;;短期資本流動的影響因素及對貨幣政策調(diào)控的啟示——基于金磚五國證券投資基金數(shù)據(jù)的實證分析[J];金融與經(jīng)濟;2015年08期

2 鈔佩;;我國短期國際資本流動測算綜述及實證分析[J];智富時代;2015年05期

3 張雁冰;;短期國際資本流動與我國股市關(guān)系實證分析[J];現(xiàn)代商貿(mào)工業(yè);2013年02期

4 鄧睿;;國際短期資本流動對我國證券市場影響實證分析[J];企業(yè)導(dǎo)報;2012年04期

5 王稀楠;;中國國際短期資本流動與股市波動關(guān)系分析[J];華南理工大學(xué)學(xué)報(社會科學(xué)版);2011年03期

6 趙文勝;張屹山;趙楊;;短期國際資本流動對中國市場變化的反應(yīng)分析[J];數(shù)量經(jīng)濟技術(shù)經(jīng)濟研究;2011年03期

7 張明;;中國面臨的短期國際資本流動:不同方法與口徑的規(guī)模測算[J];世界經(jīng)濟;2011年02期

8 嚴啟發(fā);;中國2000年以來的資本非正常外流:形勢與評論[J];國際貿(mào)易;2010年12期

9 楊俊龍;孫韋;;短期國際資本流動對我國經(jīng)濟潛在沖擊的實證分析[J];經(jīng)濟理論與經(jīng)濟管理;2010年12期

10 張斌;;人民幣升值預(yù)期 短期資本流動及其影響[J];國際金融;2010年04期

相關(guān)碩士學(xué)位論文 前3條

1 馬道汕;短期國際資本流動對我國股票市場影響的實證研究[D];重慶師范大學(xué);2016年

2 王衍磊;國際資本流動對我國資本市場的沖擊效應(yīng)研究[D];中國海洋大學(xué);2013年

3 徐雪;我國國際短期資本流動規(guī)模測算及其影響因素的研究[D];湖南大學(xué);2013年

，

本文編號：2134292