融资融券对我国股市波动性影响的实证研究

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

利用上海证券市场股票价格和融资融券量等数据,通过GARCH模型、面板数据回归模型的方法研究我国内地股票市场融资融券交易与市场以及个股之间的关系。实证结果表明,融资融券交易与股价波动存在着负向变动关系;融资融券交易活动可以对我国内地股票市场和个股的波动起到平抑作用。

Based on the data of Shanghai stock market and margin trading,through the GARCH mod-el,the panel data regression model is used to study the relationship between margin trading in the mainland stock market and market as well as individual stock.Empirical results show that the margin trading and stock price fluctuation exists negative relationship;margin trading activities can be to stabilize in the Chi-nese mainland stock market and the volatility of individual stocks.