摘要
本文以2014-2015年我国股市剧烈波动为研究背景,使用融资融券实施前后7年的月度数据建立DID(二重差分法)模型,实证检验融资融券对股票价格波动的影响。实证结果表明:融资融券交易对房地产行业和家电行业股价波动的影响不明显,即融资融券平抑股价波动的功能没有得到发挥。基于此,本文提出规范融资融券业务发展、促进双向交易、扩大标的证券范围、增加证券品种、进一步改进融资融券交易制度的建议。
Based on the strong volatility of the stock market from 2014 to 2015, this paper empirically examines the effect of financing margin on the volatility of stock prices. based on the real estate industry was first included in the margin of the underlying stock and never eliminated stock for the treatment group, and then served as the control group in the beginning is not included in the select the structure size and time to market margin trading the underlying stock are similar to the selected stock company,to establish the DID model of monthly data before and after the implementation of 7 years using the margin, and then to estimate the model. At the same time, the household appliance industry, which is not related to the real estate industry, is selected as the control group.The results show: the impact of margin trading on the stock price volatility is not obvious.
出处
《价格理论与实践》
CSSCI
北大核心
2018年第11期87-90,共4页
Price:Theory & Practice
基金
兰州财经大学丝绸之路经济研究院一般项目“甘肃省金融支持乡村振兴战略研究”(JYYY201809)
甘肃省“科技金融”协同创新团队阶段性成果
