融资融券保证金比例的实证研究

An Empirical Study on Margin Ratio of Margin Trading

针对融资融券交易保证金比例的设定,从行业层面深入研究。选取股票市场的不同时间阶段,运用历史模拟法进行VaR值的计算。最终得出应降低银行业的融资融券保证金比例,且保证金比例设定应在牛市中最高、牛市前次之、牛市后最低,如此才能充分发挥融资融券交易的抑制波动性和促进流动性的功能。

In this paper,margin trading setting is further studied from the industry level. Selecting the different stages of the stock market,historical simulation method is usedto calculate VaR value. Finally,the margin ratio in bankingshould be reduced,and the margin ratio should be the highest in the bull market,medium before of the bull market,and the lowest after the bull market. In this way,we can give full play to the function of margin trading to curb volatility and promote liquidity.