融资融券放松对股票市场波动性的影响研究  

On Impact of Margin Loosing on Stock Market Volatility

作　　者：邓小朱[1] 姚佳俊 DENG Xiaozhu;YAO Jiajun(East China Jiaotong University,Nanchang 330013,China)

机构地区：[1]华东交通大学经济管理学院,江西南昌330013

出　　处：《新疆财经大学学报》2022年第3期25-35,共11页Journal of Xinjiang University of Finance & Economics

基　　金：江西省研究生创新专项资金项目“数字化转型对我国经济高质量发展的区域异质性影响研究”(YC2021-S474)。

摘　　要：在新冠肺炎疫情和国际金融市场动荡的双重冲击下,我国股市如何降低波动率、保持稳定性值得深入研究。学界普遍认为股市的剧烈波动与融资融券有直接关系。本文分别将融资融券实施、转融券扩容视作融资放松与融券放松的发生事件,在确保放松有效的前提下,选取相关样本数据运用双重差分模型进行实证研究。实证结果表明:融资放松和融券放松都能显著降低标的资产的波动性,但总体上效果有限,且融资放松对股价波动的抑制效应强于融券放松。今后应通过更加合理地运用融资融券放松、加快转融券步伐、适当降低融资融券交易门槛等举措,更好地发挥融资融券对股市波动的抑制作用。Under the double impact of the epidemic and the turmoil in the international financial market,how to reduce the volatility and maintain stability of China’s stock market is a topic worth studying.It is widely believed that the sharp fluctuations in the stock market are directly related to margin financing.In this paper,the implementation of margin financing and the expansion of margin are used as events of margin relaxation and margin relaxation respectively,and under the premise of ensuring the effectiveness of relaxation,the relevant sample data are selected and the double difference model is used for empirical research.The empirical results show that both margin relaxation and margin relaxation can significantly reduce the volatility of the underlying assets,but the effect is generally limited,and the effect of margin relaxation is smaller than that of financing relaxation.In this regard,China should rationally use margin to relax,increase the types of coupons and speed up the pace of transfer bonds,strengthen investor education and appropriately lower the threshold for margin trading to bring into play the role of the margin financing in restraining stock market fluctuations.

关 键 词：融资融券 约束放松 双重差分模型 股价波动性 

分 类 号：F830.2[经济管理—金融学] F832.5