融资融券对沪深300指数的影响-基于2015年沪深300指数交易数据  

Margin on the Shanghai and Shenzhen 300 Index-Based on the CSI 300 Index 2015 Transactions

作　　者：罗晓霜 LUO Xiao-shuang(School of Finance, Anhui University of Finance and Economics, Bengbu 233030, Chin)

机构地区：[1]安徽财经大学金融学院,安徽蚌埠233030

出　　处：《佳木斯大学学报（自然科学版）》2016年第5期837-839,共3页Journal of Jiamusi University：Natural Science Edition

摘　　要：2015年的"股灾"让众多投资者遭受重创,而其中的融资融券业务在这次"断崖式"暴跌中的作用不可忽视。本文基于2015年1月5日至2015年底的沪深300指数以及融资融券余额的历史交易数据,利用协整检验和格兰杰因果检验的计量方法研究两者之间的关系。结果表明:融资融券余额与沪深300指数之间存在着长期的协整关系,沪深300是两融余额的格兰杰原因,融资余额不是沪深300指数的格兰杰原因。基于以上结论并结合市场特点,提出相关政策建议。The ＂Stock market crash＂in 2015 has caused heavy losses for many investors, and the role of business in which the margin＂cliff-style＂crash can not be ignored.The paper used two measurement methods called co-integration test and Granger to study the relationship between them based on historical transactions in Shanghai and Shenzhen 300 Index and margin balances from January 5th, 2015 to the end of 2015.The results showed that：there＇s a long-term co-integration relationship between margin balance and CSI 300 index, the CSI 300 is the Granger cause of the margin balance, the financing balance is not the Granger cause of CSI 300 index. Put forward policy recommendations based on the above conclusions combined with market characteristics.

关 键 词：融资融券 协整检验 格兰杰原因 

分 类 号：F83[经济管理—金融学]