融资融券对于我国股市波动性的影响

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

针对时间序列存在非线性、随机波动性强的特点,从波动性的视角,用EGARCH(1,1)模型对比分析了融资融券在股市处于平稳及暴涨暴跌的不同阶段时,其对股市波动性的影响是否存在差异。结果表明:1在股市变动较为平稳的情况下,融资融券能够平抑股市的波动性,但在股市剧烈波动时却能显著加剧其波动性。2股市波动具有杠杆效应,在股市平稳阶段利空比利多产生更大的波动,在股市暴涨暴跌阶段利多会比利空产生更大的波动。

Owing to time series has Nonlinear and strong random volatility,this research from the perspective of volatility,using the EGARCH（1,1）model to verify whether the margin tradings＇ influence on the stock market is different when the stock market at the stable or dramatic fluctuation stages.The results showed that：margin trading has different effects on the stock market＇s volatility in different stages.（A）In the case of changes in the stock market is relatively stable,the margin can control the volatility of the stock market,while when the stock market rising and dropping suddenly and sharply,it was able to significantly increased volatility of the stock market.（B）Stock market volatility has leverage effect.Bad news have a greater volatility of the stock market than the good news in a stable stage;while the good news leads to greater volatility than the bad news during the dramatic fluctuation stages.