信用交易保证金与股价波动关系研究

The Study on the Relationships between the Margin Rate Change and Stock Market Volatility

通过对境外市场保证金变动对股价波动影响的实证结果进行梳理后发现,保证金的调整对市场波动产生两种相反的效果,即流动性效果和投机性效果,保证金对市场波动的影响取决于两种效果的力量对比,如果流动性效果较强,则调整保证金对股价波动无影响或加剧市场波动,反之,则会减轻市场波动。

After reviewing the empirical results in overseas market about the effects that changes of morgin rate have on stock volatility, the paper finds that the changes of margin rate have formed two opposite effects on the market, one is liquidity effect and the other is speculative effect. The influence that the margin has on the market volatility depends on the strength balance of the two effects. If the liquidity effect is larger than the speculative effect, then the changes of margin rate have no effect on the market or enhance the market volatility, and vice versa.