国际热钱流动对我国股票市场波动的影响研究的中期报告.docxVIP

国际热钱流动对我国股票市场波动的影响研究的中期报告 摘要 随着大量国际热钱涌入我国股票市场，股票市场价格波动因此显著增加。本研究采用时间序列分析方法，使用2006年至2016年的数据，研究国际热钱流动对我国股票市场波动的影响。首先，通过ADF检验和KPSS检验，验证了时间序列数据的平稳性和自回归性。然后，应用Granger因果检验和VAR模型分析了国际热钱流动与股票市场波动之间的关系。实证结果表明，国际热钱流动对于我国股票市场波动有显著的影响。具体而言，国际热钱流动对于股票市场价格的波动有正向的促进作用，而对于股票市场波动的程度则没有统计意义上的显著影响。因此，建议政府应该加强对热钱流动的控制，以维护市场的稳定性和信心。 关键词：国际热钱流动；股票市场价格波动；时间序列分析 Abstract As massive hot money flows into the Chinese stock market, the price fluctuation in the market has increased significantly. This study uses time series analysis method and data from 2006 to 2016 to investigate the impact of international hot money flow on the volatility of the Chinese stock market. Firstly, through the ADF test and KPSS test, the stationary and autocorrelation of the time series data were validated. Then, the Granger causality test and VAR model were applied to analyze the relationship between international hot money flow and the volatility of the stock market. The empirical results show that international hot money flow has a significant impact on the volatility of the Chinese stock market. Specifically, international hot money flow has a positive effect on the volatility of the stock market prices, but not on the degree of volatility of the stock market. Therefore, it is suggested that the government should strengthen the control of hot money flow to maintain the stability and confidence of the market. Keywords: international hot money flow; volatility of stock market prices; time series analysis