融资融券交易与股票指数收益率关系研究  

Research on the relationship between margin trading and stock index return in China

作　　者：程晓静[1] 伍兴国[1] Cheng Xiaojing;Wu Xingguo

机构地区：[1]东莞职业技术学院

出　　处：《价格理论与实践》2021年第11期110-113,共4页Price:Theory & Practice

基　　金：广东省科研平台特色创新项目(编号:2020WTSCX261)阶段性成果;东莞职业技术学院金融与区域经济发展科研创新团队项目(编号:CXTD201804)资助。

摘　　要：融资融券有利于活跃证券市场,增加证券市场流动性。本文运用格兰杰因果检验和结构突变理论,分析我国融资增长率和融券增长率与股票指数收益率的动态关系。实证研究表明:在研究时限内,融资和融券增长率不是股票指数收益率的格兰杰原因,而股票指数收益率是融资增长率的格兰杰原因,但不是融券增长率的格兰杰原因。Margin trading is conducive to activating the securities market and increasing the liquidity of the securities market. This paper uses Granger causality test and structural catastrophe theory to analyze the dynamic relationship between my country’s financing growth rate, securities lending growth rate and stock index return. Empirical research shows that: in the research time frame, the growth rate of financing and securities lending is not the Granger cause of stock index return, while the stock index return is the source of financing.The Granger cause of the growth rate of capital, but not the Granger cause of the growth rate of securities lending.

关 键 词：融资融券 股票指数收益率 格兰杰检验 结构突变 

分 类 号：F832.51[经济管理—金融学]