股票价格波动对国际资本流动异常波动的影响——基于国际面板数据的实证研究

The Impact of Stock Price Volatility oninternational Capital Flow Waves——Empirical Test Based on International Panel Data

本文基于全球40个国家的季度数据研究了股票价格波动对国际资本流动异常波动的影响。研究发现,股市波动加剧能增加一国发生国际资本流动异常波动的概率,股票价格波动加剧将减少一国国际资本流入,增加一国国际资本流出。同时股票价格波动将加剧各国证券投资类国际资本流出。最后,在实证研究基础上,提出管理国际资本的政策建议。

This article conduct the impact of the stock price volatility on international capital flows waves based on the quarterly panel data of 40 countries. The results show that, the stock market volatility can increase the probability of international capital flows＇ waves, higher stock market volatility will reduce a country＇s international capital inflows, increase a country＇s international capital out- flows. Furthermore, the effects of the stock price volatility on security investment show that, increasing stock market volatility will reduce security investment in- flows of emerging market countries, and raise security investment outflows of devel- oped countries. Finally, this paper gives policy suggestion of the management of in- ternational capital based on the empirical research.