融资融券对中国股市波动性的影响研究

The Impact of Margin-trading and Short-selling on the Volatility of China's Stock Market

本文基于2010年3月31日至2016年12月30日期间沪深两市融资、融券余额以及沪深300指数的日度数据,运用VAR模型和脉冲响应函数等方法研究中国融资融券交易对股市波动性产生的影响。研究结果表明中国融资交易和融券交易均能降低股市波动性。在此基础上,分别选取显著的牛市和熊市区间,进一步考察股市处于不同市场形态时融资融券交易对股市波动性的影响程度,其结果一致。由此,本文提出了完善中国融资融券交易制度的相关建议。

This study uses the VAR model and impulse response function approach to explore the impact of margin- trading and short-selling on the volatility of China＇ s stock market based on the daily data of margin trading and short selling balance and CSI 300 index from March 31, 2010 to December 30, 2016. The results show that both margin- trading and short-selling can reduce the volatility of China＇ s stock market. Moreover, the significant data ranges of the bull market and the bear market are selected to further examine the degree of impact of margin-trading and short-selling on the stock market volatility in different market conditions, and the examining shows that the impact results are consistent. Therefore, policy recommendations are proposed to improve China＇ s trading system of margin-trading and short-selling.