加权股指收益率对融资融券交易的影响

Impact of Weighted Stock Index Returns on Margin Trading

融资融券业务的发展进一步完善了我国股市的做空机制。选取沪深两市278只融资融券标的股票作为研究对象,应用ARIMA模型,实证研究了加权股指收益率对融资融券交易的影响。研究发现:加权股指收益率和波动率对融资和融券交易均具有显著的影响,且影响呈对称性;融资和融券交易对加权股指收益率均存在影响,但方向相反,即在股价上升时,融资交易对股价有助涨之嫌,而融券交易可以起到平抑股价的作用;转融通业务的推出显著增强了加权股指收益率对融资融券交易的影响。我国融资融券业务的不断开展放松了卖空约束,完善了市场的价格发现功能,并拓宽了投资渠道,增进了市场效率。

The development of margin trading has further improved the short selling mechanism on China＇s stock market. This paper selects 278 shares of the underlying stocks of margin trading in Shanghai Stock Exchange and Shenzhen Stock Ex-change ,and it applies the ARIMA model to make an empirical research on the influence of weighted stock index returns upon margin trading. This paper finds that： （1） both weighted stock index returns and volatility have a significant impact on the finan-cing transactions and securities lending, the effects of which are symmetrical; （2 ） financing transactions and securities lending have an effect on weighted stock index returns, but in an opposite direction. That is to say, when stock price rises, financing transaction tends to push the price increase while securities lending helps to stabilize the stock price; （3） The launching of refi-nancing significantly improves the impact of weighted stock index return rate upon margin trading. The continuous development of margin trading in China has relaxed the short selling constraint, has improved the price-discovery function of market, has widened the investment channels and has improved the market efficiency.