融资融券交易对股票市场流动性的影响研究--基于VAR模型的实证分析

Research on the Impact of Margin Trading on Stock Market Liquidity--Empirical Analysis Based on VAR model

2010年,我国正式引入融资融券交易。至今,融资融券标的股票已进行了六次扩容,所涵盖的股票范围更加广泛。融资融券交易对我国股票市场流动性的影响不仅关系到投资者如何进行股票交易,也关系到金融机构及监管机构对证券市场及其交易制度的把握。在融资融券标的股票第六次扩容的背景下,利用融资融券余额与换手率研究融资融券交易对股票市场流动性的影响,对股票市场的发展很有意义。

In 2010,China officially introduced margin trading.So far,the subject stocks of margin trading have been expanded six times,covering a wider range of stocks.The impact of margin trading on the li-quidity of China's stock market is not only related to how investors conduct stock trading,but also related to the grasp of the securities market and its trading system by financial institutions and regulators.Under the background of the sixth expansion of the subject stock of margin trading,it is of great significance to study the impact of margin trading on the liquidity of the stock market by using the balance and turnover rate of margin trading.