Chinese Stock Market Fluctuations Lead to International Speculative Funds Impact,or the Reverse:The Empirical Tests from 2005 to 2011 Sample Data
使用2005至2011年数据，通过VECM-BGARCH模型检验中国股市波动与国际投机资金之间的短期动态和长期均衡关系，发现股市波动会引导投机资金，但反向不成立。
International speculative funds refer to the transnational flow of capital in order to obtain short - term return.This paper selects the sample data from 2005 to 2011,empirically tests both short - term dynamic and long - term equilibrium relationships between international speculative funds shock and Chinese stock market fluctuation with VECM - BGARCH model.The empirical result indicates that from the fluctuations level of view,Chinese stock market fluctuation leads to international speculative funds long - term and short - term impact, but vice versa is not true.From the view of volatility,Chinese stock market and international speculative funds have ARCH and GARCH effect,and both have a spillover effect of the volatility.