摘要
2014-2015年我国股市剧烈波动期间,融资融券是否助涨助跌曾引发激烈争论。本文基于波动非对称性视角,运用EGARCH模型研究融资融券对我国股市周期性波动的影响。实证结果表明,我国股市波动存在显著的双重非对称性,但融资融券对熊市波动非对称性和牛市反向波动非对称性都没有显著影响;我国融资融券既没有助推牛市上涨,也没有加剧熊市下跌,它对股市周期性波动的影响是中性的。
When Chinese stock market experienced violent fluctuations in 2014 and 2015, whether or not margin trading aggravated market fluctuations was a hot topic in China. From the perspective of asymmetric volatility, this paper uses EGARCH model to study whether or not Chinese margin trading has aggregated the stock market＇ s long - term fluctuation. The empirical tests show that Chinese stock market has dually asymmetric volatility, hut margin trading exerts no significant influence on either the asymmetric volatility in the bear market or the reverse asymmetric volatility in the bull market. In a word, margin trading does not aggravate Chinese stock market fluctuation.
出处
《金融研究》
CSSCI
北大核心
2017年第2期147-162,共16页
Journal of Financial Research
基金
国家自然科学基金资助项目(G0206-71672157)的支持
