热钱流入与我国股市动态关系的实证研究  

An Empirical Research into the Dynamic Relationship between Hot Money Inflow and the Stock Market of Our Country

作　　者：何静[1,2] 李村璞[3] 邱长溶[1] 

机构地区：[1]西安交通大学经济与金融学院,陕西西安710061 [2]西安建筑科技大学管理学院,陕西西安710055 [3]西安外国语大学商学院,陕西西安710128

出　　处：《经济经纬》2011年第6期146-150,共5页Economic Survey

基　　金：教育部人文社会科学研究一般项目(08JA790100);陕西省教育厅专项科研计划项目(11JK0105)

摘　　要：在美国持续维持宽松货币政策的背景下,热钱流入是否会影响我国金融市场发展受到关注,通过对2002年1月到2010年8月数据的研究我们发现,热钱与股市市值的关系适合使用非线性模型来拟合,当前二期股市市值下降较快(下降速度高于10.8%)或者上升较快(上升速度高于37.5%)时,热钱对于股市市值的非线性影响就会显现,此时前二期股市市值和前一期热钱分别变动1%会引起当期股市市值变动-1.9588%和0.2328%。In the background of the U.S. continually maintaining the loose monetary policy, people focus on whether hot money inflow will affect the development of Chinese financial market. Through researching the monthly data from Jan. 2002 to Aug. 2010, the au- thors found the relationship between hot money and stock market capitalization is fit to be imitated with nonlinear model. When the mar- ket capitalization in the previous two periods dropped quickly（ decreasing rate higher than 10.8% ） or rose quickly （rising rate higher than 37.5% ） , the nonlinear influence of hot money inflow on market capitalization will show. At this time the 1% change in the market capitalization in the previous two periods and hot money inflow in the previous period separately will cause the change of - 1. 9588% and 0. 2328% in the current period market capitalization.

关 键 词：热钱 沪市市价总值 非线性平滑转换模型 

分 类 号：F832.5[经济管理—金融学]