The Impact Effect Research Of International Capital Flows On China’s Capital Market

After90years of20th century, economic globalization will bring a new era for theworld economy. Following is the international capital flows’ pushing forward both on thebreadth and depth, and international capital flows inject vitality in the financial market ofthe world, also the international capital flows will has a great impact on host country’sfinancial system and aggravated volatility in financial market due to the excessive flowsof international capital and changeability of its flow direction. As the construction of ourcountry’s capital market is not perfect, under the background of the expansion scale ofinternational capital flows，having a research of the impact effect of the internationalcapital flows on our country’s capital market is a key problem that need to be solvedurgently in the process of the construction of our country’s capital market.Based on the international capital flows and the volatility of our country’s capitalmarket as the research object, discuss the flowing issues:1) The channel of internationalcapital flow in our country and estimate the net short-term international capital flow ofour country;2) carry out a comprehensive analysis on volatility of our country’s capitalmarket;3) empirical analyse the impact effect of international capital flow on ourcountry’s capital market. In view of the above problems, this research work and maincontribution is centered in the following respects:Firstly, as to the problem of the flow channels of international capital in our country,according to the balance of payment,the research carried out from three aspects:international capital flows of direct terms of BOP; international capital flows of implicitterms of BOP; international capital flows of off-balance sheet items.And on this basis,estimate the net short-term international capital flow of our country annually andmonthly.Secondly, as to the comprehensive analysis on the volatility of our country’s capitalmarket, the paper choose5indexes from the main part of capital market,namely,Shanghaicomposite index, Shenzhen component index, National debt index, Enterprise bond indexand Medium-and long-term credit monthly increase. The first four indexes use monthlydata and the last index use daily data, and respectively construct EGARCH-M-GEDmodel to analyze the volatility of our country’s capital market comprehensively, and give an order of their volatility.Finally, as to the impact effect of international capital flow to our country’s capitalmarket., the paper choose the net short-term international capital flow and net long-terminternational capital flow as the indexes of international capital flow, together with theindexes from capital market as our research indexes. Using monthly data from June2003to December2012,the paper established Semi-parametric regression model and vectorauto-regression model to analyze the influence of international capital flow to ourcountry’s capital market, thus conduct the Semi-parametric regression analysis andimpulse response analysis of international capital flow to our country’s capitalmarket.According to the research, we have come to the following results:1)Stock marketaspect, the short-term international capital flow and long-term international capital floware all positive impact effect;2)Bond market aspect, the short-term international capitalflow has negative impact effect and the long-term international capital flow is positiveimpact effect;3)Medium-and long-term credit market aspect, the short-term internationalcapital flow has positive impact effect and the long-term international capital flow isnegative impact effect;4)The futures market aspect, the short-term international capitalflow and long-term international capital flow are all positive impact effect.