摘要
本文以沪深300为样本指数,研究融资交易和融券交易对A股市场波动造成的影响,结果表明融资融券交易与股票市场波动之间均存在着长期的均衡关系,融资交易是股市波动的格兰杰原因,并且融资交易在短期内会推动股市波动,长期会抑制股市波动,而融券交易不是股市波动的格兰杰原因,对股市波动的影响也不明显。
Based on a sample index of 300 shares in Shanghai and Shenzhen,this paper studies the influence of finance and margin trading on the volatility of A-share market.The results showthat there is a long-term equilibrium relationship between margin trading and stock market volatility.The finance trading will drive the stock market volatility in the short term,and the long-term will restrain the stock market volatility.However margin trading is not the Granger cause of stock market volatility,and the impact on stock market volatility is not obvious.
作者
曹秋菊
CAO Qiu-ju(School of Finance,Hunan University of Commerce,Changsha,Hunan 410205)
出处
《商学研究》
2018年第3期34-39,共6页
Commercial Science Research
基金
国家社科基金项目"新常态下中国对外投资化解产能过剩问题研究"(项目编号:15BJL084)
湖南省高校科技创新团队支持计划资助
湖南省普通高等学校人文社会科学重点研究基地资助
关键词
融资融券
股市波动
协整检验
格兰杰因果检验
脉冲响应分析
finance and margin trading
stock market volatility
cointegration test
granger causality test
impulse-reponse analysis
