融资融券对科创板波动性的影响  

Impact of Margin Trading on the Volatility of Science and Technology Innovation Board

作　　者：陈昆[1] 赵东暄 张杨 薛志林 周靓 CHEN Kun;ZHAO Dongxuan;ZHANG Yang;XUE Zhilin;ZHOU Liang(Nanjing Audit University,Nanjing 210000,China)

机构地区：[1]南京审计大学金融学院,江苏南京210000

出　　处：《南华大学学报（社会科学版）》2022年第4期53-63,共11页Journal of University of South China(Social Science Edition)

基　　金：国家社会科学基金项目“江苏省高校优势学科三期南京审计大学应用经济学”资助(编号:19FJLB027)。

摘　　要：作为一种信用交易工具,融资融券不仅可以帮助投资者对冲市场风险,还能够向市场注入充足的流动性。我国资本市场的两融交易业务起步较晚,且分批次进行,存在一定的限制。不同于A股的其他主要市场,科创板自成立之初所有股票都可以用来融资融券。文章根据科创板股票的面板数据,采用固定效应面板回归分析模型,并通过稳健性检验,得出结论:在平稳市场行情下融资融券交易能够降低科创板股票的波动。因此,监管当局应完善资本市场相关法规制度,加强信息披露力度,为融资融券在科创板市场的发展中营造良好的市场环境。As a credit trading tool, margin trading can not only help investors hedge market risk, but also inject sufficient liquidity into the market. Margin trading started late in China, and is carried out in stages with certain restrictions. Different from the other main board of A-share market, all stocks of STAR Market can be used for margin trading from the beginning. This article, based on the panel data of STAR Market, using fixed effect panel regression analysis model, and through the robustness test, draws a conclusion that margin trading can effectively inhibit STAR Market stock price volatility under stable market condition. While doing a good job in supervision, the regulatory authorities should improve the relevant laws, accelerate information disclosure, and provide a sound market environment for the development of margin trading in STAR Market.

关 键 词：科创板 固定效应模型 股票波动性 融资融券 

分 类 号：F273.1[经济管理—企业管理]