A Study Of Short-term International Capital Flows And Transmission Effects Of Stock Market Volatility

The United States,as a world financial center,and Japan,as one of the Asian financial centers,their stock markets have a guiding role in the development of the global stock market,and it is representative to study the impact of the stock markets of these two countries on the volatility of our stock market.Short-term international capital into the financial markets mainly include bonds,stocks,futures and other derivatives markets,with the development of financial and economic integration,the scale of short-term international capital flows expand,the frequent changes in the direction and scale of their flows lead to the intensification of stock market volatility,this volatility is inextricably linked to the capital markets of developed countries,therefore,the study of short-term capital flows and stock market volatility transmission effect is of great significance.Based on the above background,this thesis studies the volatility of stock markets in China,Japan and the U.S.based on the theory of stock volatility correlation,the theory of transmission mechanism of stock market volatility correlation and the theory of short-term international capital flow correlation,using monthly data from January 1990 to January 2022,and later intercepting monthly data from January 1995 to December 2021,starting from short-term international capital flow The analysis of the stock markets of China,the U.S.and Japan is carried out in a comprehensive manner by interlinking the stock markets of these countries.The empirical study focuses on the direction and size of short-term international capital flows and whether there is a volatility transmission effect among the stock markets of each country.The empirical results show that: ARCH effects exist in the stock markets of China,Japan and the United States,and the volatility series of the stock markets of China,Japan and the United States are generated quantitatively by GARCH models;the volatility transmission effects between the stock markets of China,Japan and the United States are influenced by the size and direction of short-term international capital flows;there are significant asymmetric effects in the Chinese stock market,and the Chinese stock market is affected by different factors of short-term international capital flows with significant transmission effects.According to the above conclusions,in order to pursue the healthy and stable development of the Chinese stock market,this thesis argues that we should continuously improve the Chinese financial market,prudently promote the opening of capital projects;reasonably expand the scale of the stock market to enhance the ability to resist stock price fluctuations;establish a good stock market environment to create a good investment environment for international capital;strengthen foreign exchange supervision,improve the foreign exchange supervision system and build an early warning mechanism for global emergencies.