融资融券试点对我国股票市场波动性的影响实证研究

An Empirical Research on the Impact of Taking Securities Margin Trading Pilot Project to China's Stock Markets Volatility

融资融券交易正式启动对我国股票市场将产生什么样的波动性影响,是学术界和理论界共同关注的焦点。本文在前人研究基础上,从我国实际情况出发,以标的证券指数——上证50指数与深证成指指数作为影响我国股票市场的代表展开实证,运用GARCH族模型,引入虚拟变量D,其中D用来刻画融资融券推出前后对我国股票市场的影响。通过建模,得出融资融券试点一年多时间以来有利于减小我国股票市场波动性的结论。

Margin trading in China was officially launched on the Chinese securities market will produce what kind of influence, is the academic and theoretical circles focus. In this paper, drawing on the basis .of previous, from China＇s actual conditions, the un- derlying index - the SSE 50 Index and Shenzhen Component Index as the representative of China＇s stock market affect the start of evidence, and the use of GARCH family mod- els, the introduction of dummy variables D, where D is used to describe the margin be- fore and after introduction of China＇s stock markets, margin obtained by modeling the pi- lot more than a year, there have been conducive to reducing China＇s-stock market volatil- ity conclusions.