摘要
本文使用2010年至2015年中国A股市场数据,研究融资融券制度的保证金机制对股价特质性波动的影响。研究发现:在非极端市场环境下,融资融券制度的保证金机制有可能放大市场中股票的特质性波动,具体表现:对于特质性波动水平较高的股票,融资融券交易能够显著放大其特质性波动;对于特质性波动水平较低的股票,融资融券交易并不会显著放大其特质性波动。这一结论在分别检验了融资交易和融券交易的影响后依然成立。
This paper studies the influence of margin mechanism of margin trading system on idiosyncratic volatility of stock price,with the data of China stock market from 2010 to 2015,finding that margin trading can enlarge stocks＇ idiosyncratic volatilities in normal market environment：margin trading can enlarge idiosyncratic volatilities of stocks which have high idiosyncratic volatilities,but not of stocks which have low idiosyncratic volatilities.The conclusion is still valid after examining the impact of financing transactions and margin trading.
出处
《商业研究》
CSSCI
北大核心
2017年第3期53-62,共10页
Commercial Research
基金
中国人民大学科学研究基金项目(中央高校基本科研业务费专项资金资助)
项目编号:16XNH007
关键词
融资融券
信用交易
特质性波动
securities margin trading
credit trading
idiosyncratic volatility
