跨境资本流动结构变化对中国股票市场的冲击风险研究

随着上海自贸区的快速发展，跨境流动资本呈现新的结构特征。人民币流动规模占比增加，短期资本开始主导跨境资金流的趋势，国内资本市场成为跨境资本流动套利的活跃平台。受此影响，国内股票市场不同板块呈现差异化的波动特征。通过选取代表币种、期限和投向的跨境资本流动结构指标以及上证综合指数、创业板综合指数，基于结构向量自回归模型(SVAR)进行实证研究，发现当前跨境资本流动中，币种结构的变动比期限结构和投向结构对我国股票市场的影响显著。

Research of the Impact of Structure Changes of Cross-border Capital Flows on Domestic Stock Market

With the rapid development of Shanghai Free Trade Zone,the scale of the offshore RMB market continues to grow.The degree of opening up of China's domestic market increases, and the cross-border flow of capital shows new structural features:the ratio of RMB flowing is increasing,and short-term capital begins to dominate the trend of cross-border capital flows;the domestic capital market has become an lucrative platform for cross-border capital flows.Under this influence,different industrial sectors of the domestic stock market present different fluctua-tion patterns.By selecting the representative index of currency,term,investment in cross-border flows of capital structure,the Shanghai Composite Index,and the Gem Index,based on the structure vector auto-regressive (SVAR)model for an empirical study,we conclude that the changes of currency structure make a more significant contribution to the domestic stock market. Finally,we propose policy recommendations to strengthen the macroeconomic regulation and su-pervision of the stock market.