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国际资本流动是引起股市波动的重要影响因素之一。本文主要研究国际短期资本流动与股市波动之间的关系。文章首先提出国际短期资本流动额的估算方法。出于数据的可得性,我们的方法是:国际短期资本=外汇储备增量-(FDI+正常贸易顺差)。在估算出国际短期资本的流动额的基础上,运用VAR的方法分析了国际短期资本流动与波动溢出效应之间的关系,并建立4阶滞后的向量误差修正模型(VECM)。结果表明,上证综合指数虽然主要受其自身的影响,但同时也受到国际短期资本流动的影响。同时,方差分解的结果也表明,国际短期资本对上证综合指数的影响约为6%。这一结果也证明了国际短期资本流动股市波动的影响因素之一。
International capital flows are one of the important factors that cause the stock market to fluctuate. This paper mainly studies the relationship between international short-term capital flows and stock market fluctuations. The article first proposes the method of estimating the amount of international short-term capital flows. Our approach to data availability is: International short-term capital = incremental foreign exchange reserves - (FDI + normal trade surplus). Based on the estimation of the amount of international short-term capital flows, this paper analyzes the relationship between international short-term capital flows and volatility spillovers by using VAR method and establishes a fourth-order lag vector error correction model (VECM). The results show that, although the Shanghai Composite Index is mainly affected by its own, but also by the impact of international short-term capital flows. Meanwhile, the result of variance decomposition also shows that the impact of international short-term capital on the Shanghai Composite Index is about 6%. This result also proves one of the influencing factors of the fluctuation of the international short-term capital flows.