融资融券交易对市场和标的个股波动影响的实证研究

Empirical Study on Margin Impact on Volatility of the Marketand the Individual Stocks

作为证券市场的重要制度之一,融资融券交易理论上应具有价格发现、价格稳定、提高流动性等基本功能。本文从融资、融券交易的价格稳定理论机制出发,针对市场和个股两个层面系统而全面地分析融资交易和融券交易的价格稳定作用。研究发现:融资交易对指数波动没有显著影响,融券交易对指数波动有一定平抑作用;融资融券交易对标的个股有价格稳定作用,除极个别个股的融资作用表现不确定。

As one of the important systems of the stock market, margin trading theoretically should have the ba-sic functions such as price discovery, price stability and enhancing liquidity. This paper starts from the mechanism of margin trading price stability theory, and then analyzes the price stabilizing effect on the market and individual stocks from two levels systematically and comprehensively. Theoretical study sees the changes in the stock supply and demand elasticity margin as a theoretical mechanism. In the empirical part, the study of the effects of market volatility mainly goes through quantitative analysis method GARCH family models, VAR model, and impulse response and variance decomposition. In terms of the impact on individual stocks, analysis is conducted on the general and individual effect mainly through panel data. The study finds that margin trading almost have a stabilizing effect to index fluctuations and margin trading have a stabilizing effect on the price of the underlying stocks, except that some individual stocks have uncertain effects.