融资交易对我国股票市场波动性的影响研究--基于VAR模型的实证分析

Research on the Impact of Financing Transactions on the Volatility of China's Stock Market--An Empirical Analysis Based on the VAR Model

我国在2010年正式引入融资融券交易,融资标的股票的范围进行了六次扩充,标的股票的数量从最开始的90只增加到现在的1600只,融资交易制度更加完善,股票市场的交易也更活跃。股票市场波动性一直是现代金融领域的主要研究方向,同时也是投资者、金融机构以及监管机构参考的重要指标之一。融资交易对股票市场波动性究竟有怎样的影响,影响机制又是什么,国内外学者并没有得出统一的结论。以沪深300指数作为研究对象,研究第六次扩容以后融资交易对我国股票市场波动性的影响,由实证结果可知,融资交易对股票市场波动性的影响不是简单的单向影响,对于不同的滞后阶数所产生的影响是不同的,既有正向的加剧作用也有反向的抑制作用。

Since China formally introduced margin trading in 2010,the scope of the financing target stocks has been expanded six times,the number of underlying stocks has also increased from the beginning of 90 to the present 1600,the system of financing transactions is more perfect,investors are more active trading.Stock market volatility has always been the main research direction of modern finance,and it is also one of the important indicators of investors,financial institutions and regulators.Domestic and foreign scholars have not reached a unified conclusion on how financing transactions have an impact on the volatility of the stock market and what is the impact mechanism is.Taking CSI 300 index as the research object,this paper studies the impact of financing transactions on the volatility of China's stock market after the sixth expan-sion.The empirical results show that the impact of financing transactions on the volatility of the stock market is not a simple one-way impact mechanism,and the impact on different lag orders is also different,which has both positive aggravation and negative inhibition.