转融通范围扩大对A股波动性的影响  

The Impact of the Expanded Scope of Refinancing on A-Share Volatility

作　　者：何光辉[1] 方诚 He Guanghui;Fang Cheng(The School of Economics at Fudan University,Shanghai 200233)

机构地区：[1]复旦大学经济学院,上海200433

出　　处：《上海经济》2024年第6期72-91,共20页Shanghai Economy

摘　　要：转融通制度让融资融券的来源更广泛,2023年2月转融通范围扩大后,转融通的资金证券来源更广,并一定程度上改变了我国股票市场单边市场的状态,让市场的功能更加完全。本文采用面板数据回归的方法分析了转融通扩大、部分收紧、全面收紧三个政策节点前后股市的波动性情况,发现在转融通扩大后的几个阶段股市的波动性都出现了显著下降在部分收紧的情况下波动性下降最多。波动性的下降主要是因为不同时期融资融券量不同,以及不同时期融资融券对波动性的影响程度的变化同时导致的。在严格收紧阶段,融资融券起到了很强的抑制波动性的作用,因此考虑到我国资本市场的不断发展,对转融通的严格收紧是最有利于未来股市平稳的政策选择。The refinancing mechanism makes the source of margin trading and short selling more extensive,and after the expansion of the scope of the mechanism in Feb.2023,the source of margin trading and short selling is even more extensive,which to a certain extent changes the state of unilateral market in China's stock market and makes the market function more completely.This paper analyzes the volatility of the stock market before and after the three policy nodes of the expanding,partial tightening,and full tightening the refinancing mechanism by using the method of panel data regression,and finds that the volatility of the stock market after the expansion of the mechanism has declined significantly,and the volatility declines the most in the case of partial tightening.The decrease in volatility is mainly due to the combination of different volume of margin trading and short selling,and the changes in the degree of influence of margin trading and short selling on volatility in different periods,and in the stage of strict tightening,margin trading and short selling have acted as a strong disincentive to volatility,so considering the continuous development of China's capital market,the choice of strict tightening of the refinancing mechanism is the most conducive one to make a smooth stock market in the future.

关 键 词：转融通 融资融券 波动性 

分 类 号：F812.2[经济管理—财政学]