融资融券对股票波动程度影响的评估研究

Study on Evaluation of the Impact of Margin Trading and Short Selling on Stock Volatility

融资和融券业务对股票市场波动程度影响的探索研究历史已久,实证结果的差异使得该研究仍争议不断。我国自实施融资融券业务以来,标的证券池共进行五次规模性的调整,融资融券规模不断增大,市场波动亦随之加剧。通过分样本研究融资融券业务调整后一年的融资和融券业务交易量对个股波动程度变化的影响,从固定效应面板模型的回归结果中可以得出以下结论:整体上,融资融券业务都加剧了股票市场的波动程度变化;从结构上看,融券业务对股票市场波动程度的加剧强于融资业务,融资业务在特定阶段会减弱市场波动;从结果来看,融资融券对我国股票市场的作用还处于不稳定状态,需要更加理性地对待。

The study on the impact of margin trading and short selling on the volatility of the stock market has a long history. But various empirical results make the study controversial. Since the implementation of margin trading business in China, the underlying securities pool has been adjusted five times. As the scale of margin trading and short selling increases, the stock market becomes more unstable. By using samples in five different periods, this paper studies the influence of margin trading and short selling volumes within one year after the adjustment on the changes of securities’ volatility. From the regression results of the fixed effect panel model, it is found that overall margin trading and short selling both increase stock market volatility. From the structural point of view, short selling increases the volatility of stock market more than margin trading, and margin trading may reduce stock volatility at a certain stage. The result shows that the role of margin trading and short selling is still unstable in China’s stock market, which needs to be treated more rationally.