我国融资融券业务与股市波动相关性研究

Study on the Correlation between the Securities of Margin Trading and the Volatility of Stock Market

融资融券业务理论上能够稳定股市波动,但国外的实证研究表明,这一结论未必成立。在这种背景下,研究我国融资融券业务与股市波动间的相关性就显得非常重要。在对变量间的回归分析、Granger因果关系检验、脉冲响应分析、方差分解中发现,我国融资融券业务与股市波动呈正相关关系,但彼此间影响较小,这主要是因为我国的融资融券业务存在规模不平衡、交易标的数量少、投资成本高等问题,应采取加速推进利率市场化、扩大融资融券标的和加强投资者教育等策略。

The securities margin trading business can theoretically stabilize the volatility of sock market,but empirical studies show that this conclusion is not valid. Under this background,it is very important to study the relationship between margin trading and the volatility of stock market in China.Through the regression analysis,Granger causality test,impulse response analysis and variance decomposition of the variables and so on,It is found empirically that the securities margin trading is positively related to the volatility of stock market,but they have little influence,the main reason is that the securities margin trading business Scale is not balanced,the number of trading targets is small,and the investment cost is higher. So,we should accelerate the interest rate market,expand the margin trading target and strengthen investor＇s education.