国际证券资金流动对中国股市的影响

随着全球金融一体化进程的加速,跨境证券资金流动逐渐成为国际资本流动的重要组成部分,对一国金融市场的影响也越来越显著.在此背景下,本研究分析了流入中国股市的国际证券资金流动的总体特征和行业板块特征,并运用多元回归模型和面板模型从市场综合指数和行业板块指数两个角度实证研究了其对中国股票市场收益率的影响.结论表明:第一,2006年以来中国国际证券资金流动规模不断增加,从股市板块来看,流入金融板块的国际资金最多,医疗保健、信息技术、可选消费等板块也是国际证券投资的热点.第二,当期国际证券资金的流入对国内股市收益率有显著的正向影响,且影响程度和显著性不断增强,但影响效应是短期的,符合"价格压力"假说.

The impact of international portfolio flows on China's stock market

With the acceleration of global financial integration, the international portfolio flow has become more and more important to the domestic financial market. In this context, this study analyzes the characteristics of portfolio flows into different sectors in Chinese stock market, including their size, trend and correlations of flows. Furthermore, this study empirically analyzes the impact of international portfolio flows on domestic stock market, in terms of market index and sector index. The conclusions are as follows. First, the volume of international portfolio flows has increased significantly since 2006. The financial sector is the most attractive sector, and the health care sector, consumer discretionary sector and information technology sector are also the investment hotspots. Second, the international portfolio flows have the contemporaneous positive effect on domestic stock market, but the effect is temporary, which is correspond with "price pressure hypothesis".