基于SVAR模型的融资融券对中国股市影响研究  

A Research about the Impact of Margin Trading over Stock Market Volatility in China Based on SVAR Model

作　　者：张涛 邓晓卫 李凡一 张苏靖 ZHANG Tao;DENG Xiao-wei;LI Fan-yi;ZHANG Su-jing(Overseas Education College,Nanjing Tech University,Nanjing 211816,China;School of Physical and Mathematical Sciences,Nanjing Tech University,Nanjing 211816,China)

机构地区：[1]南京工业大学海外教育学院,江苏南京211816 [2]南京工业大学数理科学学院,江苏南京211816

出　　处：《数学的实践与认识》2023年第7期246-254,共9页Mathematics in Practice and Theory

基　　金：江苏省“第二批中外合作办学高水平示范性建设工程项目培育点”(苏教办外[2017]14号);江苏省大学生创新创业训练项目(201810291107Y)。

摘　　要：选取2014年3月至2016年9月的上交所数据,建立带有虚拟变量的SVAR模型研究融资融券交易在牛、熊市下对股市波动性的影响及其差异.结果显示:在牛市下,两融交易会进一步加剧股市波动性;在熊市下,两融交易对股市波动性有减缓作用;融资融券对股市波动性的影响是非对称的,即,融资对股市波动性的影响要远远大于融券的影响.Selecting the data of Shanghai Stock Exchange during the period between March,2014 and September,2016,we construct a SVAR model with a dummy variable to analyze the impacts of margin trading over stock market volatility either in a bull market or in a bear market and then we compare the differences of the impacts.The empirical result shows:In the bull market,the margin trading increases the stock market volatility while in the bear market,the margin trading can reduce the stock market volatility.Furthermore,we derive that the impacts on the volatility between buying and short selling are unsymmetrical and the impact of buying on the stock market volatility is much larger than that of short selling.

关 键 词：融资融券 股市波动性 SVAR模型 虚拟变量 

分 类 号：F832.51[经济管理—金融学] F224