An Empirical Research into the Dynamic Relationship between Hot Money Inflow and the Stock Market of Our Country
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An Empirical Research into the Dynamic Relationship between Hot Money Inflow and the Stock Market of Our Country
HE Jing 1,2, LI Cun pu 3, QIU Chang rong 1
(1.School of Economics and Finance, Xi'an Jiaotong University, Xi'an 710061, China; 2. School of Management, Xi'an University of Architecture and Technology, Xi'an 710055, China; 3. School of Business, Xi'an International Studies University, Xi'an 710128, China）
Abstract In the background of the U.S. continually maintaining the loose monetary policy, people focus on whether hot money inflow will affect the development of Chinese financial market. Through researching the monthly data from Jan. 2002 to Aug. 2010, the authors found the relationship between hot money and stock market capitalization is fit to be imitated with nonlinear model.When the market capitalization in the previous two periods dropped quickly(decreasing rate higher than 10.8%) or rose quickly(rising rate higher than 37.5%), the nonlinear influence of hot money inflow on market capitalization will show.At this time the 1% change in the market capitalization in the previous two periods and hot money inflow in the previous period separately will cause the change of -1.9588% and 0.2328% in the current period market capitalization.
HE Jing,LI Cun-Pu,QIU Chang-Rong- . An Empirical Research into the Dynamic Relationship between Hot Money Inflow and the Stock Market of Our Country. Economic Survey, 2011, 28(6): 0146.
2011, Vol. 28 
