Analysis on the Impacts of Sudden Stops of International Capital on the Volatility of Chinese Stock Market on the Basis of VAR Model

DOI

10.2991/iemetc-17.2017.18How to use a DOI?

Keywords

International Capital; Sudden Stop; Stock Market Volatility; Var Model.

Abstract

The financial crisis happened in emerging market countries in 1990s shows that, the sudden stops of international capital, which often lead to a series of chain reactions, is an important cause of financial crisis. In this paper, the sudden stops of international capital flows and the return ratio volatility of Shanghai Stock Market are chosen as research objects, in order to analyze the impacts of sudden stops on stock market. After building statistical models, it is found that the sudden stops of capital inflow have a positive impact on the volatility of stock market. That is, if the inflow of international capital suddenly stops, or relatively large quantity of outflow appears, positive fluctuations in stock market will happen. But the inverse relationship does not exist. The high volatility of stock market can not cause sudden stops of international capital flows. Finally, relevant suggestions are put forward according to the conclusions of this study.

Copyright

© 2017, the Authors. Published by Atlantis Press.

Open Access

This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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TY  - CONF
AU  - Junwei Xing
PY  - 2017/07
DA  - 2017/07
TI  - Analysis on the Impacts of Sudden Stops of International Capital on the Volatility of Chinese Stock Market on the Basis of VAR Model
BT  - Proceedings of the 2017 9th International Economics, Management and Education Technology Conference (IEMETC 2017)
PB  - Atlantis Press
SP  - 87
EP  - 93
SN  - 2352-5428
UR  - https://doi.org/10.2991/iemetc-17.2017.18
DO  - 10.2991/iemetc-17.2017.18
ID  - Xing2017/07
ER  -