| Short-term international capital flows generally refers to a period of one year or less, or demand payment of capital outflows and inflows. With the development of global financial integration, capital market has become increasingly active in various countries, short-term international capital movement is gradually expanding.From the 1990s Asian financial crisis began, countries continue to focus on international capital flows.90 years as the Asian financial crisis and the 1997 outbreak of the Latin American financial crisis, the outflow of short-term or large-scale international capital flows are important factors in a country.2007 by the U.S. subprime mortgage crisis triggered by the global financial crisis, once again place the issue of short-term international capital flows in various countries and focus on academics.China's reform and opening up, the degree of economic openness, expanding the scale of Capital Flows across the mirror gradually increase, China's international status of the outflow of capital from long-term inflows and outflows into the recent large-scale alternating state. Data show that in 2007 China's total international capital flows accounted for 51% of GDP over the same period, reaching a historical peak. From 2001 to 2010, cumulative net inflow of international capital in China reached $ 703 billion, equivalent to 25% of incremental foreign exchange reserves. Which, FDI accounted for a net inflow of capital 98% of the total; portfolio investment and other investment fluctuations, alternating along the deficit.Short-term international capital flows of a country's capital market including the bond market, futures market, the stock market and other financial derivatives. The stock market is a barometer of a country's economy in promoting economic development has an important role. China's stock market to establish a short time, the stock market system is in continuous improvement phase, in addition to their internal factors are also vulnerable to external factors. In recent years, as China's capital markets and other countries closer and closer ties, China's large-scale short-term international capital inflows or outflows, which may contain illegal hot money, such as "hot money" and so on. Short-term international capital flows in the direction and scale of China's stock market volatility continues to deepen, so that when our portfolio capital unstable, the country's stock price volatility will be strengthened, and this volatility of capital markets in developed countries are often subject to impact.The United States is the world's financial center, the New York stock market capitalization scale in the world, play a guiding role in the global stock markets, while Japan is Asia's financial center, the Tokyo Stock Exchange market value of the scale in the global ranking of the major New York trading after the that, in Asian countries have a dominant position in the stock market. Thus, the study of the two countries on China's stock market volatility, the impact of stock market volatility has a representative significance. Based on the above background, this paper from June 1994 to June 2011 monthly data, short-term international capital flows as the starting point, linking developed countries (Japan, USA) and China's stock market, stock market, empirical studies of short-term international capital flows direction and scale of volatility between stock markets in different countries pass-through impact. Specific studies are as follows:1. of the national stock market volatility characteristics.In this paper, the Chinese stock market, the Japanese stock market and U.S. stock markets were ARCH effect test, the test results show the existence of these three stock markets are clear ARCH effect and GARCH model by building, depicts the three were the volatility of the stock market sex.2.were calculated during the short-term international capital flows of China's size. Commonly used in international short-term international capital flows have a direct measurement method calculation method, calculation method and the mixed indirect measurement method. In this paper, the advantages and disadvantages of these three methods were compared, taking into account data availability, the use of indirect calculation of our June 1994 to June 2011 between the short-term international capital flows were calculated.3.studied the short-term international capital flows between countries in the stock market volatility transmission channel. In this paper, Granger causality test, respectively, of our short-term capital flows and the three countries reflects the volatility of stock market indicators have been tested, the results validate the short-term international capital flows, volatility in the stock market pass-through effect in the channel.4. quantifies the short-term international capital flows of various factors on the Shanghai Composite index fluctuations. Stock market for the existence of asymmetric effects of this model by building TARCH quantify the factors on the impact of China's stock market volatility. The results showed that the two stock market yield spread is mainly caused by price fluctuations, capital and financial account opening degree, short-term international capital flows, the developed countries (Japan, USA) stock price volatility are the volatility of stock prices in China have impact.In response to these empirical results, the paper pointed out that to ensure the healthy and stable development of China's stock market, on the one hand to strengthen the control of short-term international capital flows, foreign exchange continue to improve our regulatory system, improve the domestic financial markets, strengthen financial prevention; the other hand, to strengthen China's stock market building, expand the market size, and enhance market liquidity, strengthen the internal market regulation, so as to promote healthy and stable development of the stock market. |
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