融资融券对我国股票市场波动性影响的实证研究

An Empirical Study of the Effect of Margin Tradingon Chinese Stock Market Volatility

选取2014年9月22日至2016年12月15日的545个融资融券指标数据,通过建立VEC模型研究融资融券对我国股票市场波动性的影响。结果显示,融资融券交易可以降低股市的波动性,但效果十分有限。应通过扩大交易标的股票范围、增加融资融券交易资金和股票供应量、降低业务准入门槛等措施,进一步发展融资融券业务,促进整个融资融券交易的活力,使融资融券交易发挥应有的作用。

From the margin trading data of 545 days from September 22 to December 15 in 2014,and the Vector Error Correction（VEC）model is set up to analyze the impact of margin trading on the volatility of Chinese stock market.Results show that the margin trading can indeed reduce the volatility of the stock market,but the effect is limited.We should promote the business by means of broadening the stock exchange,increasing margin trading funds,supply more stocks and lowering the standard for the trading to further promote the volatility of margin trading.