An Empirical Study On The Impact Of International Short-term Net Capital Inflow On The Volatility Of China ’s Securities Market

After more than 20 year’s development,the overall scale,function and efficiency of China’s securities market have been greatly improved.It makes the securities market become one of the largest and most dynamic securities markets in the Asia-Pacific region.Since China putting reform and opening-up into practice,with the acceleration of international capital flow,the promotion of global economic integration and the development of financial market,more and more short-term capital flows from foreign countries into China,and it flows mainly into China’s securities market in order to obtain speculative income.At present,there are some researches on the factors influencing the international short-term capital flows,the calculation methods and the influence on the economy of each country,but there is less research on the impact of international capital flows on the securities market.The securities market mentioned here includes stock market,bond market and fund market.Some scholars have studied the influence of international capital flow on security market and make securities market be equivalent to the stock market.On the basis of previous scholars,this paper would add bond market and fund market to do further study on the impact of international short-term net capital inflow on China ’s securities market.The purpose of this paper is to study the impact of international short-term net capital inflows on the volatility of China’s stock market.The first part introduces the basic theory of international short term capital and makes use of different method to measure scale of the international short-term capital inflow.The next part introduces the development of China’s securities market and analyzes the volatility of China’s securities market by EGARCH model.It is concluded that the volatility of different markets in China is different,and the volatility of the stock market is greater than that of the bond market.This conclusion paves the way for the following research.The last part uses the impulse response analysis and variance analysis to explore the relationship between international short-term capital inflow and Shanghai securities composite index,Shenzhen component index,Shanghai securities fund index,Shenzhen securities fund index,treasury bond index and corporate bond index.Finally,there are two conclusion : one is that the short-term net capital inflows have a positive impact on China’s stock market and fund market and have a negative impact on China’s bond market;the other one is that international short-term capital is more likely to choose thestock market to invest.This is in line with the results of the different volatility in different markets.