投资者情绪、融资融券与股市波动

Investor Sentiment,Margin Trading and Stock Market Volatility

文章主要研究了投资者情绪、融资融券和股市波动之间的内在机理。研究发现,投资者情绪对股市波动性的显著正影响在融资融券交易推出前后有差异,在融资融券交易推出后,这种显著的正影响更大;并且,融资与融券交易所导致的差异大小有所不同,融资交易所导致的差异比融券交易大。此外,融资融券交易本身对不同市场波动性的影响也有所不同,融资融券交易对深市波动性有显著的负影响,但对沪市波动性的负影响并不显著。研究结果表明,融资融券交易会通过投资者情绪间接地加剧股市的波动,但是其自身对股市的剧烈波动有一定的平抑作用。

This paper studies the internal mechanism of investor sentiment, margin trading and stock market volatility. It is found that the significant positive impact of investor sentiment on stock market volatility is different before and after the introduction of margin trading, after the introduction of mar- gin trading, this significant positive impact is greater. Moreover, the degree of this difference resul- ting from financing transaction and securities lending transaction is different, to which the financing transaction contributes more. Margin trading has different impact on the volatility of different stock markets. Margin trading has a significant negative impact on the volatility of Shenzhen stock market, however, its negative impact on the volatility of Shanghai stock market is not significant. The results show that margin trading has an indirectly positive impact on stock market volatility by investor senti- ment, but margin trading itself has a stabilizing effect on stock market volatility.