融资融券对股票市场流动性影响的实证研究

Empirical study of the impact of margin trading system on the stock market liquidity

以我国股票市场融资融券业务规模跳跃式发展为背景,研究了融资融券对我国A股市场流动性所产生的影响。首先通过理论分析建立概念模型,提出融资融券通过波动渠道、交易渠道和参与渠道三条路径作用于股票市场流动性的机理,并据此建立了研究假设。在对数据收集和变量设定基础上,利用VAR模型和Granger因果检验对融资融券作用于股票市场流动性的实际效果进行了实证检验。检验结果表明融资融券能够通过"波动渠道"提升股票市场流动性,但通过"交易渠道"、"参与渠道"影响股票市场流动性的假设未得到证实。

Under the background of increasing margin trading scale in Chinese stock market,the study of its influence on the stock market liquidity is made in this paper.Through a theoretical analysis of the conductive process,the conceptual model and research hypothesis are established,which proposes that there exists different expectations for the inertia model.The influencing process of margin trading on the stock market liquidity is also deduced to be subdivided as transaction channel,volatility channel and participation channel.Based on data collection and variables setting,by using the VAR model and Granger causality test,an empirical analysis is made to test the actual effect of margin trading system on the stock market liquidity in Chinese A share market.The volatility channel hypothesis is fully verified in the empirical study of financing trading system on the stock market liquidity,with the transaction channel and participation channel hypothesis not verified.