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国际资本流入突停是20世纪90年代新兴经济体金融危机发生的重要原因,但资本突停是否会对中国的股市产生同样大的影响?笔者主要以中国的国际资本流动突停和中国上证综指收益率波动作为研究对象来分析突停对股市的影响。运用统计模型得到,我国资本流入的突停会对股市波动带来微弱的负影响,但总体影响不大,可能的原因是中国对非贸易外资的严格管制。我国股市的波动与其上期波动的相关性更大,说明我国股市波动惯性较大。最后根据研究结论提出了相关建议。
The sudden inflow of international capital is an important reason for the financial crisis in emerging economies in the 1990s. However, whether capital sudden stop will have the same big impact on China’s stock market. The author mainly takes China’s sudden stop of international capital flow and China’s Shanghai Composite Refers to the volatility of return as a research object to analyze the impact of sudden stop on the stock market. Using the statistical model, the sudden stop of capital inflow in our country will have a weak negative impact on the stock market volatility, but the overall impact is insignificant. The possible reason is that China strictly controls non-trade foreign capital. The correlation between the volatility of China’s stock market and the fluctuation of the previous period is greater, which shows that the volatility of China’s stock market is more inert. Finally, according to the conclusions of the study made the relevant recommendations.