融资融券对中国证券市场运行绩效的影响研究——基于沪深股市的经验证据

Study on Impact on the Operation Performance of Chinese Securities Market:Based on the Empirical Evidence of Shanghai and Shenzhen Stock Markets

融资融券对证券市场的运行绩效具有重要影响。以沪深股市的经验数据作为样本,通过OLS模型和Granger因果检验,对融资融券与沪深股市波动性和流动性的长期关系和因果关系进行实证分析,结果显示,股市处于不同行情时,融资融券与沪深股市波动性和流动性的长期关系呈现出不同特点。为提升证券市场运行绩效,当证券市场处于上升通道时,监管当局应适当增加融券规模及减小融资规模;当证券市场处于下降通道时,监管当局应适当减小融券规模及增加融资规模;当证券市场处于震荡态势时,监管当局应保持融资交易和融券交易的规模匹配,以达到平抑波动性与增加流动性的目标。

Margin transaction has great impact on the operation performance of securities market.This paper analyzes the long-term relationship and causality between margin transaction and the Shanghai and Shenzhen stock markets,volatility and liquidity by the OLS model and the Granger causality test.When the stock market is in a different market,the long-term relationship between margin transaction and the Shanghai and Shenzhen stock markets,volatility and liquidity will have corresponding changes.To enhance operation performance,supervision authorities should enlarge securities lending size and reduce financing size when securities market is up;reduce securities lending size and enlarge financing size when securities market is down;keep the match of the scale of the financing transactions and margin trading when the securities market is in a volatile situation,so as to achieve the goal of stabilizing the volatility and increasing liquidity.