融资融券是否平抑了中国股市的波动性?

Does margin trading stabilize the volatility of China's stock market?

具备卖空和杠杆特性的融资融券交易机制在我国证券市场运行已逾五年,但其对股市波动性影响几何始终存在分歧。本文采用GARCH回归、VAR模型、脉冲响应、方差分解等计量方法,通过检验融资融券交易在总体水平上,融资、融券分效应,标的股票扩容前后及单一上涨或下跌的行情中四个方面对沪深300股票指数的波动性的影响,得出两融交易在总体上抑制股市的波动、在单一行情中加大波动且融券抑制波动幅度小于融资等结论,并提出扩大融券券源、加强监管、改善投资者结构等政策建议。

In this paper, we use GARCH regression, VAR model, impulse response, variance decomposition and other measure- ment methods to study volatility of the Shanghai and Shenzhen 300 stock index by examining the margin trading in such four as- pects as the overall level, the sub - effect of margin trading, before and after the expansion of object stock and the single rise or fall of the market, and reached the conclusions that the two types of financial transactions have an overall inhibition to fluctuations in the stock market, and that in a single market, the volatility will increase and the margin trading suppression volatility range is less than financing and others, and propose some policy recommendations to expand margin trading sources, strengthen supervi- sion, improve investor structure and so on.