融资融券交易制度与中国股市波动——基于沪深两市大样本数据的VAR检验

本文选取1729个连续交易日的融资融券日交易余额、沪深300指数作为整体估计数据,并选取502个连续交易日的914支标的个股样本数据,运用VAR的估计模型,分别从市场和个股两层面分析融资融券交易对中国股市波动的影响。实证研究表明:市场层面看,融资融券交易制度的引入显著降低了证券市场的波动性;个股层面看,只有高市盈率个股中融资融券交易与个股股票波动性存在Granger因果关系。针对实证结论提出了完善转融通业务、建立有效的保证金机制、逐步扩大标的证券范围和交易品种、保障市场公开透明等政策建议。

This article analyzes the impact of margin trading in Chinese stock market by using VAR estimated model. Data were obtained from the balance of 1729 consecutive trading days, CSI 300 Index and 914 underlying stocks （on 502 consecutive trading days）. Results show that, from the perspective of market, the margin trading can significantly reduce the volatility of stock market; from the perspective of individual stocks, and margin trading within high PE ratio individual stocks is Granger causally related to the volatility of individual stocks. Based on those results, this article makes the suggestions of improving refinancing business, establishing an effective margin mechanism, expanding the range and catalog of underlying trading securities, and ensuring market openness and transparency.