我国国际游资与股市波动关系的实证分析

摘要

Using the indirect method, this paper does estimate the China’s international hot money from September 2005 to April 2014. And then by processing the monthly date after reform of non-trad-able shares, this paper attempts to demonstrate the relationship between the international hot money and the stock market volatility. The Empirical Analysis result shows that there is positive correlation between them, which means if the Chinese stock market is boom, a large number of international hot money will inflow, and if not, a great deal of international hot money will outflow.%采用间接法估算出2005年9月至2014年4月我国国际游资数额，并在此基础上实证分析股权分置改革实施后，我国国际游资流动与股市波动之间的关系。分析结果表明：我国股市波动与我国国际游资规模之间存在正向的关系，即我国股市繁荣，会引起大量国际游资流入；股市低迷，则会导致大量国际游资流出。