融资融券交易对我国股票市场波动性的影响研究

The Study on the Impact of Margin Trading on the Volatility of China's Stock Market

本文以我国融资融券为研究对象,选取融资融券交易额及沪深300指数为研究变量,分别从融资、融券两个角度出发,建立VAR模型分析我国融资融券交易对股市波动性的影响。研究发现,近几年我国融资业务发展迅速,对市场波动性影响显著且持久;融券业务规模较小,对市场波动性的影响较弱,但受市场反馈作用却较为强烈。总体而言,融资融券业务有助于降低我国股市波动性,增强其稳定性,提高股市运行效率。

Taking China＇ s margin trading as the research object, selecting amount of the margin trading and Shanghai-Shenzhen 300 index as the research variables, respectively from two aspects of financing and securities margin trading, the paper establishes VAR model to analyze the impact of China＇ s margin trading on the volatility of the stock market. The research finds that the financing business has developed rapidly in recent years, and it places a significant and persistent effect on the volatility of the stock market. While the scale of the margin trading is small, and it puts weak impact on the market volatility, but the market feedback effect is relatively strong. Overall, the margin trading helps to reduce the volatility of the stock market, enhance the stability of the the stock market and improve the efficiency of the stock market.