融资融券对沪市波动性和流动性影响实证分析——基于OLS模型和格兰杰因果检验  

Empirical Analysis on Impact on Margin Transaction to Volatility and Liquidity of Shanghai Securities Market:Based on OLS Model and Granger Test

作　　者：张斯琪[1] 王敬[1] 

机构地区：[1]大连理工大学工商管理学院,辽宁大连116024

出　　处：《科技和产业》2014年第8期176-180,共5页Science Technology and Industry

摘　　要：对上证180指数、沪市融资、融券交易数据样本进行了研究,通过最小二乘回归(OLS)模型建立沪市波动性、流动性与融资融券的关系,通过格兰杰因果检验对回归结果进行验证。实证结果表明:融资融券交易对沪市的波动性和流动性都具有正向影响,结合实证结论给出投资者在股市不同表现下的投资建议。This paper take 180 index of Shanghai securities and margin trading data as samples for study,establish an OLS regression model to build the relationship among volatility,liquidity and margin trading,have secondary authentication by granger causality test.The empirical results show that the margin trading have？positive influence to volatility and liquidity on the Shanghai stock market.Combined with the empirical conclusion the study give policy suggestions to investor.

关 键 词：融资融券交易 股市波动性 股市流动性 OLS回归 

分 类 号：F832.48[经济管理—金融学]