融资融券标的股扩容对股市波动性的影响

Influence of expansion of subject shares of margin trading on volatility of stock market

我国融资融券共经历6次扩容,以渐进的方式影响着股市的波动性。分析融资融券交易制度推出后标的股扩容与沪深300指数波动性的关系,选取2012—2019年沪深300指数数据进行实证研究,利用GARCH模型拟合我国股票市场的波动性,引入4个虚拟变量反映标的股扩容前后的变化。实证结果显示,引入的4个政策虚拟变量系数均为负。研究结果表明,融资融券标的股扩容后降低了股票市场的波动性,起到了平抑股市的作用。

The margin trading in China has experienced 6 times of expansion,which has gradually affected the volatility of stock market.The relationship is analyzed between expansion of underlying stock and volatility of CSI 300 index after the introduction of margin trading system.The CSI 300 index data from 2012 to 2019 is selected for empirical research,the volatility of the stock market in China is fitted by GARCH model,and 4 dummy variables are introduced to reflect the changes of the underlying stocks before and after the expansion.The empirical results show that the coefficients of the 4 policy dummy variables are all negative.The research results indicate that after the expansion of subject shares of margin trading,the volatility of stock market is reduced and the fluctuation of the stock market is suppressed.