融资融券对上海证券市场影响的实证分析——基于流动性和波动性的视角  

Empirical Research on the Impact of Margin Trading on Liquidity and Volatility of Shanghai Security Market

作　　者：杨德勇[1] 吴琼[1] 

机构地区：[1]北京工商大学经济学院,北京100048

出　　处：《中央财经大学学报》2011年第5期28-34,共7页Journal of Central University of Finance & Economics

基　　金：北京市属高等学校人才强教深化计划"创新人才建设计划"项目(编号:0142131301);教育部人文社会科学研究项目(编号:10YJA790217)资助

摘　　要：本文以我国上海证券市场的经验数据研究了融资融券交易的推出对市场流动性和波动性的影响。实证研究表明,在上海证券市场,融资融券交易机制与整个市场的波动性存在长期协整关系,而与市场流动性不存在长期协整关系;融资融券交易对市场流动性和波动性有因果引致作用。利用事件研究法对新纳入和剔除融资融券标的证券范围的个股进行参数或非参数检验表明:融资融券交易机制对个股的波动性具有一定平抑作用,并能提升个股流动性。最后,本文根据实证结论与我国融资融券交易发展现状对融资融券业务发展提出了政策建议。Based on the data of Shanghai Security Market,this paper study the margin trading effects on the market liquidity and volatility.Empirical research results showed that in the Shanghai Security Market,margin trading mechanism have a long-term cointegration relationship with the market volatility,but not with the market liquidity,and margin trading is the Granger causal element of market liquidity and volatility.Using event study on the parametric or nonparametric tests of the individual stock inclusion and exclusion of new margin trading rage,we draw the conclusion that margin trading could stabilize the volatility of single stock and enhance stock liquidity.Finally,concerning the development of margin trading in China,we make further policy recommendations.

关 键 词：融资融券 流动性 波动性 

分 类 号：F830.91[经济管理—金融学]