中国股市波动引致国际游资冲击,或是相反?——来自2005～2011年样本数据的实证检验  

Chinese Stock Market Fluctuations Lead to International Speculative Funds Impact,or the Reverse:The Empirical Tests from 2005 to 2011 Sample Data

作　　者：林辉[1] 裴平[1] 刘晓星[2] 

机构地区：[1]南京大学商学院,江苏南京210093 [2]东南大学经济管理学院,江苏南京210096

出　　处：《金融研究》2012年第10期75-85,共11页Journal of Financial Research

基　　金：教育部人文社会科学基金项目(批准号:10YJC790162);国家社科基金重大项目(批准号:08AJY029)的资助

摘　　要：国际游资是指为获取短期收益而跨境流动的投机性资金或资本。本文选择2005～2011年样本数据计算我国国际游资的规模,并构建VECM-BGARCH模型实证检验国际游资冲击与我国股市波动之间的相互关系。研究表明:从波动水平来看,我国股市波动会引致国际游资长期和短期冲击,反之则不成立。从波动风险来看,我国股市与国际游资都具有ARCH和GARCH效应,且相互存在波动风险的溢出效应。International speculative funds refer to the transnational flow of capital in order to obtain short - term return. This paper selects the sample data from 2005 to 2011, empirically tests both short - term dynamic and long- term equilibrium relationships between international speculative funds shock and Chinese stock market fluctuation with VECM - BGARCH model. The empirical result indicates that from the fluctuations level of view, Chinese stock market fluctuation leads to international speculative funds long -term and short -term impact, but vice versa is not true. From the view of volatility, Chinese stock market and international speculative funds have ARCH and GARCH effect,and both have a spillover effect of the volatility.

关 键 词：国际游资 股票市场 VECM GARCH 

分 类 号：F224[经济管理—国民经济] F832.51