摘要
融资融券交易制度是现代金融市场中常见的交易手段之一,该制度的引入正式开启了我国证券市场“双边市”时代。以2014-2018年的交易数据为样本,采用带有哑变量的GARCH模型以及Hsiao et al.政策面板评估模型,通过研究两融交易对中国股票市场和两融标的股波动性的影响发现,第一,当政府连续三次以上以相悖的政策干预市场时,两融制度更倾向于增大股票市场的波动性,且融资交易和融券交易对股市波动性的影响具有非对称性;第二,两融制度有效平抑了标的股的波动性,但却增加了标的股的异常涨跌频率。
Margin trading as a common trading pattern of stock markets'open a new age of China's security market. This paper analyzes the impact of margin trading in Chinese stock market by GARCH model and the method of Hsiao et al.(2012) based on data of 2014 -2018. The result proved that firstly, as financial control intensified efforts, margin trading increased the volatility of stock market. Secondly, although margin trading decreased underlying stock' s volatility increased the frequency of abnormal change. And securities lending transactions increased both the volatility of market and abnormal rate of change.
作者
张苏林
程帆
Zhang Sulin;Cheng Fan(School of Economics and Finance,Chongqing University of Technology, Chongqing 400054)
出处
《对外经贸》
2019年第3期84-90,98,共8页
FOREIGN ECONOMIC RELATIONS & TRADE
关键词
融资融券交易
市场波动性
政策面板模型
异常涨跌率
Margin Trading
the Volatility of Stock Market
Panel Data of Hsiao et al.
Abnormal Rate of Change
