融资融券交易与市场稳定性:基于动态视角的证据  

Margin trading and the stability of stock market: A dynamic perspective

作　　者：刘烨[1] 方立兵[1] 李冬昕[1] 李心丹[1] 

机构地区：[1]南京大学工程管理学院,南京210093

出　　处：《管理科学学报》2016年第1期102-116,共15页Journal of Management Sciences in China

基　　金：国家自然科学基金重点资助项目(70932003);国家自然科学基金资助项目(71173098);国家自然科学基金青年资助项目(71203091;71401071);教育部人文社会科学研究青年项目(14YJC790025);江苏省自然科学基金青年资助项目(BK20130589)

摘　　要：通过构建"外生信息冲击的门限自回归条件密度(TARCD-X)"模型,进而从动态的视角考察了融资融券实施前后,市场涨跌和交易量增减4种重要的信息冲击对下一期市场稳定性的影响具有怎样的差异,以及融资融券实施后,融资融券余额变动作为新的信息冲击如何影响下一期市场的稳定性.以波动性、暴涨暴跌的不对称性和暴涨暴跌的频繁性3个指标衡量市场的稳定性,研究发现:(1)12种影响关系中,除交易量减小对市场波动性的冲击作用在融资融券实施后有所放大之外,其他11种影响关系均未出现不利变化;(2)融资融券余额的变动没有显著增加市场的波动性和暴涨暴跌的频繁性,但其与暴涨暴跌的不对称性存在显著的相关关系.后者为构建股市暴涨暴跌的预警指标提供了实证依据.A new model called Threshold Auto-Regressive Conditional Density model with exogenous shocks （abbreviated to be TARCD-X） is developed in the present work. The advantage of this model is that it accommodates all twelve relationships between the four types of information shocks and three indicators of market stability. Therefore, the model can be well employed to investigate the impact of margin trading on the stability of stock market from a dynamic perspective. The shocks include the increase and decrease of stock market price, and trading volume. The indicators of market stability involve volatility, the asymmetry of large up and down movements, and the frequency of large movements of the stock market. The empirical results documented that： （ 1 ） eleven of the twelve relationships do not worsen except for the decreasing of trading volume hasa larger effect on conditional volatility after the execution of margin trading; （2） the changes in the margin trading ae- count, as a new information shock, do not increase the volatility or the frequency of large movements, significantly correlated to the asymmetry of large up or down movement. This evidence is beneficial to early warning indicators to identify large movement of stock market.

关 键 词：融资融券 市场稳定 卖空 条件密度 

分 类 号：F830.91[经济管理—金融学]