融资融券对我国期指市场影响的实证研究

Empirical Research on the Impact of Margin Trading on the Index-Futures Market of China

以融资融券对我国期指市场的影响为对象进行实证研究,发现融资融券对期指市场当日成交金额产生负向影响,对期指市场当日持仓量产生正向作用;融资融券交易与期指市场波动性之间不存在长期稳定的协整关系,也不存在确定的线性关系;融资融券交易对期指市场当日成交金额并不存在统计意义上的因果引致关系,当日融券余额与期指市场当日持仓量存在双向因果引致关系,期指市场波动性是融券余额的单向因果引致关系。因此,扩大融资融券标的范围与可供借贷证券池,发展有利于中小投资者参与的、与融资融券交易有关的风险对冲套利金融产品是我国证券市场转型的重要举措。

The paper researches empirically on the impact of margin trading mechanism on the index-futures market of China, the margin trading mechanism makes negative impact on day amount of index-futures market and has a positive effect nn position balance; neither stable co-integration relationship nor definite linear relationship exists between margin trading and volatility indicatnrs of index-futures market; there is no statistical causal relationship between margin trading and day amount of index-futures market, there is a two-way causal relationship between short-selling balance and the position balance of index-futures market, and volatility indicator of index-future market is short-selling balanee＇s one-way causal relationship. Therefore, the paper suggests expanding the scope of margin target, to enlarge borrow-able securities pool and tn develop financial products related with the margin trading risk hedging arbitrage for small investors.