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融资融券的推出是否加剧了我国股市波动?——基于熊市和牛市的比较研究

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摘要 本文采用GARCH族模型、VAR模型和OLS模型,比较检验了在熊市和牛市中,融资交易和融券交易对主板、中小板和创业板波动性的影响。实证研究发现,总体上,融资融券交易加剧了我国股市的波动。具体来看,牛市中的影响大于熊市,融资交易的影响大于融券,对主板的影响大于中小板和创业板,对当期影响大于滞后期。
作者 张锦
机构地区 江西财经大学
出处 《金融经济(下半月)》 2016年第3期16-17,共2页
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参考文献3

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二级参考文献17

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