融资融券业务对A股市场价格波动的影响——基于GARCH模型实证分析

Effect of Margin Financing to A-share Market Price Fluctuations——Based on Empirical Analysis of the GARCH Model Effect

针对融资融券交易对我国A股市场价格波动性的影响,选取上证180指数相关时间序列数据作为研究变量,通过建立GARCH、VAR模型,综合运用因果检验、脉冲响应函数分析等动态计量经济研究方法进行实证分析。研究结果表明:融资融券交易均是A股市场价格波动的Granger原因,融资交易在一定程度上能够降低股市价格的波动性,但短期内对A股市场价格波动的影响仍存在不确定性;融券交易短期内对股价波动产生平抑作用,但在长期反而会扩大股价的波动。融券交易对A股市场价格波动的影响较融资交易更为持久,而融资交易对A股市场波动的平抑效果比融券交易更好。由于我国目前融资融券交易规模还处于较低水平,融资融券交易总体上对A股市场价格波动的影响还十分有限。

For the impact of margin financing on China＇s A-share market price fluctuation, this study selects the SSE 180 index related time-series data as the study variables to carry out empirical research by establishing GARCH, VAR model,the integrated use of causality, IRF dynamic econometric analysis methods of economic research and so on. Research result shows： Margin financing is the Granger cause of A-share market price fluctuations. Financing transactions can reduce price volatility in the stock market to some extent, however, its short-term impact on the A-share market price volatility remains uncertain; margin trading can control price fluctuations of the stock in short term, but it will expand the fluctuations of stock prices in the long term. Effect of margin trading on the A-share market price fluctuation is more durable than financing transactions, while the effect of financing transactions to stabilize the A-share market fluctuation is greater than margin trading. Since the scale of Chinese current margin financing is yet small, the effect of margin financing on the A-share market price fluctuation is rather limited.