| Since the summer of 2007, owing to the boom of world resource commodity markets, the aggravation of global economic imbalance and the rise of emerging economies, Sovereign wealth funds which are mostly built by oil exporting countries and East-Asian countries, are developing quickly and becoming the greatest events in the fields of world economy and international finance in the early part of the 21st century. Governments, medias and research institutes all over the world, especially in the advanced economies such as the Europe and the United States, give a lot attention to the development of SWFs.The development of SWFs indicates that the excess foreign exchange reserves round the world will leave the low risk and return investment portfolio towards high risk and return investment portfolio, and this strategic diversion will have great influence on international finance stabilization, global capital market structure, global economic imbalance and so on. On the same time, the equity investment behaviors made by these state investment entities, will affect the management and profit of their target companies greatly. Therefore, it is very important to study the actuality and economic effects of SWFs, especially the influencing mechanism of macro and micro economic effects, and this thesis will be helpful to normalize the develop pattern of SWFs and make the global capital market be improving day by day.Since the reform and opening up especially 1990s of the last century, people all over the world fix their eyes on the success of China's economic development. China has become the firstly greatest engine of the world's economic development. But China's economy still suffers from some structural problems, such as the imbalance between foreign and domestic capital, the imbalance between real and fictitious economy, the weakness of international asset management by domestic financial institutes, the great pressure and challenge on huge foreign exchange reserves, The lack of pricing rights in international commodity markets etc. All these problems ask the Chinese government to build up a set of state investment institutes with powerful capital, flexible institution and stick to the principle that national interest is prior to organizational interest. SWFs will be the key members in this set of state investment institutes. Therefore, in the post-financial-crisis era, China should draw lessons from other advanced SWF countries, study the economic effects of China's SWFs, try to build a integrated SWF develop strategy. All these jobs will be important to help China keeping and increasing the value of state assets, improving the ability of international factor allocation, and guarantee the economic safety of China.The current research achievements on SWFs around the world are mostly qualitative researches, and quantitative researches are very infrequent. This thesis uses different types of mathematical models such as Global Macro Economic Model and International Asset Pricing Model, and uses different types of empirical research methods such as statistical analysis, event study and case study, then makes a intensive study of the economic effects of SWFs and the strategy choice of China. Firstly, this thesis perfectly studies the macro background upon which the SWFs around the world could emerge quickly, explore the nature of SWFs as New State Capitalism Economy, then anatomizes the develop actuality of the world's SWFs as a whole. Secondly, this thesis uses SWFs as factor in a Dynamic Stochastic General Equilibrium Model with two regions, especially focus on the influence mechanism among the asset size of SWFs, asset proportion of investment portfolio and global macro economic indices. Thirdly, this thesis uses the method of event study to measure the influence of SWFs'investments on target companies'stock prices, estimates the future asset size of the global SWFs from three scenarios, and then studies their influence on four types of global asset prices. Fourthly, this thesis extends the event study to the investment by China SWFs, study their economic effects and investment performance.Main conclusions of this thesis include:1) The study of the Dynamic Stochastic General Equilibrium Model with two regions shows that, regardless what investment portfolio SWFs chose, the emergence of SWFs will make the US dollar depreciate incoordinately, make the US exorbitant privilege decline incoordinately, and make the emerging economies much more productive and stronger.2)The announcement of an acquisition by a SWF has a transitory intense positive impact on the stock price of the target company, but there is no lasting effect. Under the Mean Adjusted Return Model, the positive impact on the stock price is 2.9 percent, and under the Market Model with GARCH estimation, the positive impact on the stock price is 2.57 percent. Subsamples shows that, SWFs'micro economic effects on real economic department are much stronger than that on fictitious economic department, the abnormal return during the subprime crisis is much small but have longer persistence, higher acquire proportion will make a much bigger and more evident abnormal return, abnormal return from the investment in emerging markets are much more evident.3)By the emergence of SWFs, the influence of SWFs on the returned rate of risky asset and risk-free asset are of the same direction, but it is much more notable on the risk-free asset; the influence on equity premium and price-earnings ratio are also of the same direction, and is much more notable as SWFs become stronger; the direction of SWFs'influence on equity premium and price-earnings ratio is opposite to that of risky and risk-free asset; transferring 80 percent of the new current account surplus to SWFs every year is the inflexion point of SWFs'influence on the four asset prices.4) Now China has four SWFs, includes China Investment Corporation, SAFE Investment Company, National Social Security Fund and China-Africa Development Fund, China's SWFs have the most asset size as a whole in the world. The abnormal return of the investment behaviors by China's SWFs is much weaker than that by the world SWFs as a whole, but the average compounded abnormal return from "buy and hold" of China's SWFs is much higher than the global level; about one year after the investment, China's SWFs will get their best investment performance.The main innovation of this thesis includes four aspects. Firstly, this thesis perfectly studied the external background upon which the SWFs emerge quickly in the early part of the 21st century, and gave fire-new point of view, such as SWFs are the productions of global economic imbalance, and SWFs are the updated representatives of the New State Capitalism in the emerging economies. Secondly, this thesis tried to use SWFs as a factor in macro economic model, connecting SWFs with the asset proportion of foreign investment portfolio in General Equilibrium Model and investor risk averse in Asset Pricing Model, then use the method of robustness test to measure the macro economic effect. Thirdly, using different classification standard, this thesis classified the global sample to subsample of real and fictitious economic department, financial crisis and non-financial crisis era, high and low investment proportion, advanced and emerging market, and then compared the difference of micro economic effects between orresponding subsamples. Fourthly, this thesis is the first empirical research in academia about the economic effect of China's SWF, using the average compounded abnormal return of "buy and hold" to measure the long-run investment performance of China's SWFs.
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