我国股票市场流动性与融资融券业务的互动效应研究——基于VAR模型的实证分析  

Research on the Interactive Effects of Market Liquidity and Margin Transaction of China’s Stock Market—based on VAR Model

作　　者：彭爱群[1] Peng Aiqun(Anhui Business and Technology College,Hefei,Anhui 231100)

机构地区：[1]安徽工商职业学院经贸学院,安徽合肥231100

出　　处：《呼伦贝尔学院学报》2020年第6期38-42,共5页Journal of Hulunbuir University

摘　　要：融资融券业务从2010年3月31日正式开通交易,到2020年3月31日已走过10年时间。文章选取2010年3月31日至2020年3月31日间2431个数据作为样本区间,分别建立沪深两市融资买空交易额、融券卖空交易量与沪深300指数换手率之间的VAR模型,并进行Granger因果关系检验、脉冲响应分析及方差分解。通过实证分析发现,中国股票市场流动性变动与沪深两市融资买空交易额、融券卖空交易量之间存在相互影响的互动效应。在此基础上,文章从提升投资者业务素质、加强金融监管以及扩大融资融券标的证券范围等方面提出促进融资融券业务开展的政策措施。The article selects 2431 data from March 31,2010 to March 31,2020 as the sample interval,and constructs the VAR model between the volume of financing short sales and short buying transactions in Shanghai and Shenzhen,the volume of financing short selling transactions and the turnover rate of the CSI 300 index,and then conducts Granger causality test,impulse response analysis and variance decomposition,respectively.Through empirical analysis,it is found that there is an interaction effect between the liquidity movement of the Chinese stock market and the volume of short selling and short buying transactions in the Shanghai and Shenzhen financing markets.

关 键 词：融资融券 流动性 VAR 脉冲响应 方差分解 

分 类 号：F832.5[经济管理—金融学]