跨境资本流动结构变化对中国股票市场的冲击风险研究  

Research of the Impact of Structure Changes of Cross-border Capital Flows on Domestic Stock Market

作　　者：姚小义[1] 吴思娴[1] 肖帅[1] 

机构地区：[1]湖南大学金融与统计学院,湖南长沙410012

出　　处：《财经理论与实践》2016年第3期30-34,共5页The Theory and Practice of Finance and Economics

基　　金：国家社科基金项目(13BJY170)

摘　　要：随着上海自贸区的快速发展,跨境流动资本呈现新的结构特征。人民币流动规模占比增加,短期资本开始主导跨境资金流的趋势,国内资本市场成为跨境资本流动套利的活跃平台。受此影响,国内股票市场不同板块呈现差异化的波动特征。通过选取代表币种、期限和投向的跨境资本流动结构指标以及上证综合指数、创业板综合指数,基于结构向量自回归模型(SVAR)进行实证研究,发现当前跨境资本流动中,币种结构的变动比期限结构和投向结构对我国股票市场的影响显著。With the rapid development of Shanghai Free Trade Zone,the scale of the offshore RMB market continues to grow.The degree of opening up of China＇s domestic market increases,and the cross-border flow of capital shows new structural features：the ratio of RMB flowing is increasing,and short-term capital begins to dominate the trend of cross-border capital flows;the domestic capital market has become an lucrative platform for cross-border capital flows.Under this influence,different industrial sectors of the domestic stock market present different fluctuation patterns.By selecting the representative index of currency,term,investment in cross-border flows of capital structure,the Shanghai Composite Index,and the Gem Index,based on the structure vector auto-regressive（SVAR）model for an empirical study,we conclude that the changes of currency structure make a more significant contribution to the domestic stock market.Finally,we propose policy recommendations to strengthen the macroeconomic regulation and supervision of the stock market.

关 键 词：跨境资本流动 结构变化 股票市场 

分 类 号：F832.5[经济管理—金融学]