关键词: 跨境资本流动 , 系统性风险 , SRISK , MGARCHDCC , 汇率改革

Abstract: This paper starts by defining five factors that are relevant to crossborder portfolio investment towards ChinaDifferent from other studies，this paper examines the effects of capital flows due to portfolio investment up to a conditional second orderWe derive a multifactor pricing formula of the crossborder equity investmentsWe also conducted a measurement of crossborder capital inflow/outflow due to portfolio investments towards Chinas financial marketsWe obtained the dataset of capital flow and finally analyzed their correlations in conditional mean as well as in the dynamic conditional correlationsThus，we generalize the benchmark VAR model by building an augmented model，a VARMGARCHDCC modelIn addition，our evidence reveals that Chinas stock market plays as a stabilizer for short term capital especially after the reformIn summary，this paper suggested that the capital account liberalization must be treated cautiously，because both short term capital flow and exchange rate volatility play essential roles in Chinas systemic risk

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