融资融券、政府干预与股票市场波动  

Margin Trading,Government Intervention and Stock Market Volatility

作　　者：张超林[1] 黎海珊 ZHANG Chao-lin;LI Hai-shan(Hunan University of Commerce,School of Finance,Changsha 410205,Hunan;Guangzhou Maritime University,School of Shipping Economy and Trade,Guangzhou 510725,Guangdong)

机构地区：[1]湖南商学院财政金融学院,湖南长沙410205 [2]广州航海学院航运经贸学院,广东广州510725

出　　处：《商学研究》2018年第4期74-80,共7页Commercial Science Research

基　　金：湖南省社会科学基金项目(15YBA236);湖南省教育厅科研项目(15C0765)

摘　　要：本文基于指数自回归条件异方差模型(EGARCH),采用上证综指日收益率数据,研究融资融券的实施及政府干预对股票市场波动性的影响。结果表明,融资融券的实施对股票市场波动有显著的抑制作用,但融资融券扩容并不能实质性地降低股票市场波动;政府部门对融资融券的干预则会加剧股票市场波动,且该影响大于融资融券的平抑作用。使用深圳成指日收益率数据得到的结论一致。本文的研究表明,政府部门在完善融资融券的同时,应减少对股票市场的直接干预。This paper studies the implementation of margin trading and government intervention on the stock market volatility based on the exponential generalized auto-regressive conditional heteroskedasticity model （EGARCH） and the daily return data of Shanghai composite index. The results show that the implementation of margin trading has a significant inhibitory effect on the volatility of the stock market, but the expansion of margin trading does not substantially reduce the volatility of the stock market; Government intervention in the margin trading will exacerbate the volatility of the stock market, and this effect is greater than the stabilizing effect of margin trading. The Shenzhen daily data yields consistent conclusion. Our paper suggests that it’s better for the government to intervene the stock market less while trying to improve the margin trading system.

关 键 词：融资融券 政府干预 股市波动 EGARCH 

分 类 号：F830.9[经济管理—金融学]