【作者】 吴宁；

【导师】 孙涛；

【作者基本信息】 南京航空航天大学 ， 金融学， 2020， 硕士

【摘要】 国际热钱,是一种短期投机性资本,为了获取高收益在全球化市场上频繁快速流动。我国作为世界上最大的发展中国家,在不断坚持对外开放的过程中,一定会持续地吸纳外资,以此来推进国家的发展,逐步实现与其他发达国家的接轨。三次汇率制度改革的实施,推进了人民币市场化改革目标的逐步完成,使得中国的金融市场日渐融入全球化的金融市场,而这一过程也必然会给这些短期投机性资本提供进入我国的机会。因此,这些国际热钱的大规模流动必然会对我国的股票市场价格造成影响。本文在实证研究部分选用了2005年7月至2018年11月的月度数据,其中国际热钱的规模采用优化后的间接法进行测量,即“国际热钱=外汇占款增量—贸易顺差—外商直接投资FDI”。本文实证部分选用上证综合指数和深圳综合指数作为我国股票价格的代表,根据三次汇改的时间,将样本区间划分为三个阶段,基于DCC-GARCH模型来研究国际热钱与我国股票价格间的动态相关关系。研究结果表明:国际热钱与上证综指变化率的相关关系在第二次汇改后显著上升,在第三次汇改后,两者的相关性更加显著。国际热钱与深证综指的相关关系,在第一次汇改后总体趋于稳定,第二次汇改后,两者的相关系数居于均值左右,第三次汇改后,国际热钱与深证综指变化率两者的相关系数表现出明显的上升趋势,较前两个阶段的相关系数有了明显的升高。总体而言,深证综指变化率与国际热钱的相关关系强于上证综指变化率与国际热钱的相关关系,且深证综指变化率与国际热钱的动态相关系数的变动更加稳定。深证综指变化率与国际热钱的相关关系系数在达到最大值与最小值的时期,和上证综指变化率与国际热钱的相关关系系数达到最大值与最小值的时期是大致相同的。“新汇改”后,不管是上证综指变化率还是深证综指变化率,与国际热钱的相关性都呈现出增大的趋势。本文最后,根据研究得到的结论提出了相关的政策建议。更多还原

【Abstract】 International hot money is a kind of short-term speculative capital,which flows frequently and rapidly in the global market in order to obtain high returns.China is the largest developing country in the world.In the process of continuing to adhere to the opening up,China will continue to absorb foreign capital.The purpose is to promote the development of the country and gradually realize the integration with other developed countries.The implementation of the three reform of the exchange rate system has promoted the gradual completion of the goal of market-oriented reform of the RMB.It makes Chinese financial market increasingly integrated into the global financial market.This process will certainly provide opportunities for these short-term speculative capital to enter China.Therefore,these large-scale flows of international hot money will inevitably affect the stock market price of our country.In the empirical study,monthly data from July 2005 to November 2018 were selected.The scale of international hot money is measured by the optimized indirect method,that is,‘International hot money = increase in foreign exchange outstanding-trade surplus-foreign direct investment FDI’.Shanghai composite index and shenzhen composite index are selected respectively as the representatives of Chinese stock prices.According to the time of three exchange rate reforms,the sample interval is divided into three stages.Based on DCC-GARCH model,the dynamic correlation between international hot money and Chinese stock prices was studied.The results show that the correlation between international hot money and the change rate of Shanghai composite index increased significantly after the second exchange rate reform.After the third exchange rate reform,the correlation between the two is even more significant.The correlation between international hot money and shenzhen composite index is generally stable after the first exchange rate reform.After the second exchange rate reform,the correlation coefficient between the two is around the mean.After the third exchange rate reform,the correlation coefficient between the international hot money and the change rate of shenzhen composite index showed an obvious upward trend,which was significantly higher than that in the previous two stages.In general,the correlation between the change rate of shenzhen composite index and international hot money is stronger than that between the change rate of Shanghai composite index and international hot money.The change rate of shenzhen composite index and the dynamic correlation coefficient of international hot money are more stable.The correlation coefficient between the change rate of shenzhen composite index and international hot money is roughly the same when it reaches the maximum and minimum value,and when the change rate of Shanghai composite index and international hot money reaches the maximum and minimum value.After the reform of the new exchange rate,the correlation between the rate of change of the Shanghai composite index and the shenzhen composite index and the international hot money tends to increase.In the end,some policy suggestions are put forward according to the conclusions.更多还原