摘要
运用事件研究法,将2014年9月22日的中国A股市场第四次扩容作为研究事件,利用VAR模型,研究了两融交易对我国股市的波动性影响,证实了融资融券交易对股市波动确实起到了推波助澜的作用。其中,融券交易对股市波动的影响小于融资交易,融资交易对股市波动性影响较大,同时深圳市场受两融交易的影响比上海市场更大。
Based on the research results of relevant scholars, this paper studies the fourth expansion of China's A-share market on September 22, 2014 with the event study method, and uses VAR model to study the volatility of China's stock market. Finally, this paper confirms that margin trading does play a role in fuelling stock market volatility. Among them, the impact of margin trading on stock market volatility is less than that of financing transactions, and the impact of financing transactions on stock market volatility is greater. At the same time, Shenzhen market is more affected by the two financial transactions than Shanghai market.
作者
刘光彦
侯佳楠
于达
LIU Guang-yan;Hou Jianan;Yu Da(Shandong Technology and Business University, Yantai 264005,China)
出处
《山东工商学院学报》
2019年第3期29-38,共10页
Journal of Shandong Technology and Business University
基金
山东省高等学校人文社会科学研究计划项目“新旧动能转换下山东省实施创新驱动发展战略的路径研究”(RW2018ZAF003)
山东省社科规划项目“新常态下海洋经济增长动力转换与路径选择”(17CZKJ26)
青岛市社会科学规划项目“专属经济区和大陆架空间规划制度研究”(QDSKL1701159)
