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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摘要： 由于2008年美国金融危机而导致的全球经济危机一直在延续，系统性金融风险的防范已经成为全球各国政府和金融监管机构共同的课题。而随着人民币国际化的开展和我国跨境资本流动受关注程度的提高，短期跨境资本流动对系统性风险的潜在影响越来越成为一个不容忽视的议题。本文使用SRISK指标测度了我国的系统性风险，并通过构建传统VAR模型和VARMGARCHDCC模型，对我国“8·11”汇改前后的短期跨境资本流动、系统性风险、股票价格收益率、人民币在离岸利差、离岸人民币与美元利差五变量及其波动性之间的联动关系进行了检验。实证研究证明，我国短期跨境资本流动与系统性风险及两者波动性之间均存在明显的关联关系。

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