摘要
通过借鉴他人研究成果,对传统计算热钱的方法进行了系数调整,估算了1999年1月到2009年6月出入我国热钱的月度数据,并在此基础上,建立了热钱对股指和新开户数的VAR模型和VECM模型,对进入我国的热钱与股指以及新开户数之间的关系进行了探讨。研究结论认为,上证指数的上涨虽然导致国际热钱显著流入了股市,但热钱流入股市后却没有对股指产生显著影响。
This paper referred pre-academics research and adjusted the traditional method of calculating the hot money with dynamic coefficient. In this way, we estimated the scale of hot money from January 1999 to June 2009, and established VAR model and VECM model to study the relationship between hot money and stock index, and the relationship between hot money inflow and the number of new account. The conclusion is drawn that stock index significantly leads hot money inflow to the stock market, but the hot money doesn＇t has a significant impact on the stock index.
出处
《上海立信会计学院学报》
北大核心
2011年第2期79-87,共9页
Journal of Shanghai Lixin University of Commerce
基金
国家自然科学基金(70671027)
教育部人文社会科学规划项目(09YJC790044)
关键词
国际热钱
股指
VAR模型
脉冲响应函数
证券市场
hot money
stock price index
VAR model
impulse response functions
security market
