本文關(guān)鍵詞：短期國(guó)際資本流動(dòng)對(duì)中國(guó)股市影響的實(shí)證分析　出處：《東北師范大學(xué)》2013年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 短期國(guó)際資本流動(dòng) 中國(guó)股市 波動(dòng)性 傳遞效應(yīng)

【摘要】：國(guó)際短期資本的頻繁進(jìn)出,容易對(duì)一國(guó)的經(jīng)濟(jì)產(chǎn)生較大沖擊,引發(fā)貨幣危機(jī)與金融危機(jī),特別是在世界經(jīng)濟(jì)高度一體化的今天,國(guó)際短期資本的流動(dòng)渠道更加隱秘,規(guī)模更加龐大,其破壞性也更強(qiáng)。短期國(guó)際資本流動(dòng)已成為世界各國(guó)關(guān)注的焦點(diǎn)話題。 短期國(guó)際資本由于具有高強(qiáng)度的流動(dòng)性,追逐短期高額利潤(rùn),往往會(huì)引起股市的劇烈震蕩,嚴(yán)重的時(shí)候更可能引發(fā)金融危機(jī)。中國(guó)雖然是世界上最大的新興經(jīng)濟(jì)體,然而金融體系不夠完善,因而經(jīng)常面臨短期國(guó)際資本引發(fā)的經(jīng)濟(jì)沖擊。 格蘭杰因果檢驗(yàn)表明,我國(guó)的短期國(guó)際資本流動(dòng)與中國(guó)股市波動(dòng)存在單向的格蘭杰因果關(guān)系。而對(duì)短期國(guó)際資本流動(dòng)與美國(guó)股市波動(dòng)進(jìn)行格蘭杰因果檢驗(yàn)的結(jié)果表明,一定時(shí)期內(nèi)我國(guó)的短期國(guó)際資本流動(dòng)與美國(guó)的股市波動(dòng)互為二者的格蘭杰原因,因此可以推斷出美國(guó)等發(fā)達(dá)經(jīng)濟(jì)體的股市波動(dòng)可能通過短期國(guó)際資本的跨境流動(dòng)影響我國(guó)。 進(jìn)行門限自回歸條件異方差分析時(shí),構(gòu)建了四個(gè)指標(biāo),研究后發(fā)現(xiàn),美國(guó)股市通過短期國(guó)際資本大量頻繁出入我國(guó)這個(gè)渠道影響中國(guó)股市,導(dǎo)致其受到的沖擊成倍放大,中美兩國(guó)股市收益率的差額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.
【學(xué)位授予單位】：東北師范大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：F831.7;F832.51

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