中文摘要：

本文通过Granger因果检验和二元GARCH模型等实证方法分析了国际热钱流入与我国股市价格之间的关系。结果表明：国际热钱与我国股市价格有一定的相关性;我国股价短期会影响国际热钱的流入,而热钱的流入会在较长时期内影响我国股价;国际热钱和我国股价不但有波动的ARCH效应和GARCH效应,而且还具有明显的波动溢出效应,所以,防范热钱流入对股市的冲击仍是当前政策上需要加强的内容。

英文摘要：

Through the Granger Causality Test and the bivariate GARCH model,this paper analyses the causal relationship and fluctuation spillover effects between the international hot money and Chinese stock prices.The result indicates that in the short run the stock price affects the hot money＇s inflow;however,the hot money affects stock prices in the long run.The hot money and the stock price not only have the ARCH effect and the GARCH effect,but also have the obvious fluctuation spillover effect.So,to control the hot money inflow and avoid its shock on stock market is still the urgent task for financial authority.