融资融券股容量对股票波动性的影响研究  

Research on the Impact of Margin Margin Stock Capacity on Stock Volatility

作　　者：依布拉音·巴斯提[1] Ibrayim Basit(School of Finance,Xinjiang University of Finance and Economics,Urumqi Xinjiang 830012,China)

机构地区：[1]新疆财经大学金融学院

出　　处：《技术经济与管理研究》2020年第3期3-9,共7页Journal of Technical Economics & Management

基　　金：2015年度国家社科基金一般项目（15BSH020）

摘　　要：融资融券业务在我国作为一项创新的交易业务,自2010年3月31日启动以来,不仅为国内投资者提供了新的交易渠道和方式,也为国内证券市场增添了活力。我国融资融券标的股经过5次扩容之后,大约占据了我国A股数量的30%。文章报告了目前我国融资融券交易发展的现状以及五次扩容的相关过程,并选取2011年12月5日至2013年1月30日和2016年12月12日至2018年3月1日两段时间的融资融券余额以及相应时间段的沪深300的收盘指数作为研究数据,采用分期研究的方式对两个时间段的数据进行VAR模型分析。从理论和实证两方面对两融标的股扩容是否对股票市场波动性具有显著影响进行了研究,结论表明我国股票波动性的确会受到融资融券交易机制的影响,并且只有发挥好融资融券制度的正面影响,我国股票市场才有可能实现更深层次的发展。As an innovative trading business in China,the margin financing and securities lending business has not only provided new trading channels and methods for domestic investors,but also added vitality to the domestic securities market since its launch on March 31,2010. After five times of expansion of the shares of China’s margin financing and securities lending,the shares of the financing and securities lending accounted for about 30% of the number of A shares in China. The article reports on the current status of China’s margin financing and securities lending transactions and the related process of five expansions,and two periods are selected,from December 5,2011 to January 30,2013 and December 12,2016 to March 1,2018. The balance of margin financing and securities lending and the closing index of CSI 300 in the corresponding time period are used as research data. The VAR model analysis is carried out on the data of two time periods by means of staged research. The thesis studies the significant impact of the expansion of the two stocks on the volatility of the stock market from both theoretical and empirical perspectives. The conclusions show that the stock volatility in China is indeed affected by the margin trading mechanism,and only the good margin financing and securities lending the positive impact of the system,China’s stock market is likely to achieve a deeper development.

关 键 词：融资融券 VAR模型 股容量 股市波动性 

分 类 号：F830.91[经济管理—金融学]