熱錢、貨幣流動(dòng)性對(duì)我國(guó)證券股票市場(chǎng)沖擊效應(yīng)分析.pdf

1、浙江工商大學(xué)碩士學(xué)位論文熱錢、貨幣流動(dòng)性對(duì)我國(guó)證券股票市場(chǎng)沖擊效應(yīng)分析熱錢、貨幣流動(dòng)性對(duì)我國(guó)證券股票市場(chǎng)沖擊效應(yīng)分析摘要隨著經(jīng)濟(jì)全球化的發(fā)展，國(guó)際熱錢通過(guò)各種途徑進(jìn)出我國(guó)資本市場(chǎng)和金融市場(chǎng)，龐大的熱錢規(guī)模以及其高度的流動(dòng)性和逐利性使得國(guó)際金融市場(chǎng)日益動(dòng)蕩不安。就我國(guó)而言，在我國(guó)經(jīng)濟(jì)不斷開(kāi)放、金融體制不斷加深的今天，國(guó)際熱錢對(duì)我國(guó)金融市場(chǎng)所帶來(lái)的沖擊效應(yīng)值得我們深入研究。國(guó)際熱錢的大量流入流出可能會(huì)導(dǎo)致我國(guó)國(guó)內(nèi)流動(dòng)性的過(guò)度膨脹或過(guò)度緊縮，

2、從而對(duì)我國(guó)的實(shí)體經(jīng)濟(jì)和金融市場(chǎng)帶來(lái)沖擊，造成股價(jià)的大幅度動(dòng)蕩，不利于經(jīng)濟(jì)的平穩(wěn)發(fā)展。一方面，國(guó)際熱錢的流入或流出會(huì)導(dǎo)致國(guó)內(nèi)貨幣流動(dòng)性的增加或減小，從而影響我國(guó)貨幣政策的有效性；另一方面熱錢流動(dòng)首先影響到的是我國(guó)的金融市場(chǎng)，熱錢流動(dòng)會(huì)影響股票價(jià)格的波動(dòng)。本文把將股票市場(chǎng)的價(jià)格一股價(jià)指數(shù)作為金融市場(chǎng)的代表性領(lǐng)域，將熱錢流動(dòng)、貨幣流動(dòng)性和上證股指三個(gè)變量相聯(lián)系，從而考察熱錢流動(dòng)對(duì)我國(guó)金融市場(chǎng)的影響。本文主要運(yùn)用回歸分析、對(duì)比分析的研究方法，并

3、建立中介效應(yīng)模型和調(diào)節(jié)效應(yīng)模型來(lái)分析熱錢流動(dòng)對(duì)我國(guó)上證股指的影響機(jī)制。首先本文利用EViews6軟件對(duì)相關(guān)數(shù)據(jù)進(jìn)行單位根檢驗(yàn)以及協(xié)整檢驗(yàn)，研究結(jié)果表明貨幣流動(dòng)性與上證股指之間存在著長(zhǎng)期均衡關(guān)系，國(guó)際熱錢流動(dòng)與我國(guó)上證股指之間也存在著長(zhǎng)期均衡關(guān)系，并通過(guò)對(duì)比分I浙江工商大學(xué)碩士學(xué)位論文熱錢、貨幣流動(dòng)性對(duì)我國(guó)證券股票市場(chǎng)沖擊效應(yīng)分析THEANAIjYSIS0FTHEID仰ECTEFFECTSOFHOTMONEYMONETARYLIQUIDI

4、TYONCHINASSECURITYSTOCKMARKTEABSTRACTIIlllllLIIIIlll11111II111LIIIlY2292066Withthedevelopmentofeconomicglobalization，theinternationalhotmoneyflowsinOFoutofChina’SfinancialmarketsthroughavarietyofchannelsHotmoneywiththehu

5、gescalehighdeg陀eofliquidityandtheprofit—drivenmakestheinternationalfinancialmarketsincreasinglyvolatileAsfarasourcountryisconcerned，Chinaseconomycontinuestoopenup，andthefinancialcontinuestodevelop，SOtheimpacteffectsofint

6、ernationalhotmoneyonChina’SfinancialmarketareworthfartherresearchThelargenumberofhotmoneyflowsmayleadtOexcessiveexpansionorexcessivetighteningofthedomesticliquidityandthesewillhaveanimpactontherealeconomyaswellasthefinan

7、cialmarkets，resultinginsubstantialvolatilityofthestockpriceOnonehand，hotmoneyflowswillaffectourcountry’SmonetaryliquidityandaffecttheeffectivenessofthemonetarypolicyinChinaOntheotherhand，hotmoneyflowsfirstaffectChina’Sfi

8、nancialmarket，andaffectthevolatilityofthestockpriceInthispapertheauthorregardsthestockmarketprices一stockindexasarepresentativefieldoffinancialmarketsHotmoney’monetaryliquidityandShanghaiStockIndexarelinkedtoexaminetheimp

9、actonShanghaiStockIndexbyhotmoneyBesidestheuseofregressionanalysisandcomparativeanalysis，theauthoralsoestablishesthemediatingeffectmodelandthemoderatingeffectmodeltOanalyzetheimpactmechanismofChina’SShanghaiStockIndexand