融资融券对我国股市波动性影响的实证研究

财经论丛 ›› 2017, Vol. 33 ›› Issue (4): 55-60.

融资融券对我国股市波动性影响的实证研究

胡忆文

上海大学经济学院,上海 200444

收稿日期:2016-04-02 出版日期:2017-04-10 发布日期:2017-04-10
作者简介:胡忆文(1992-),女,浙江诸暨人,上海大学经济学院硕士生

Empirical Analysis of Impacts of Margin Trading on Volatility of Chinese Stock Market

HU Yiwen

School of Economics, Shanghai University, Shanghai 200444, China

Received:2016-04-02 Online:2017-04-10 Published:2017-04-10

摘要/Abstract

摘要： 本文选取的样本区间为2008年1月2日到2014年12月31日,通过GARCH模型和TARCH模型研究融资融券对我国股市波动性的影响。研究表明,融资融券机制的引入能降低股市的非对称波动性,但融资融券余额的增减会加大股市的波动性。

关键词: 融资融券, 股票市场, 波动性, GARCH模型

Abstract: Margin trading has played an important role in the development of the stock market. However, its impact on Chinese stock market remains to be further studied. This article selects samples from January 2, 2008 to December 31, 2014 and uses TARCH model and GARCH model to study the impacts of margin trading and finds that the introduction of margin trading mechanism would reduce the asymmetric volatility of Chinese stock market and the change of margin trading would increase the volatility of Chinese stock market. Finally, it puts forward some suggestions based on empirical conclusions and current situations of margin trading.

Key words: Margin Trading, Stock Market, Volatility, GARCH Model

中图分类号:

F830.91

胡忆文. 融资融券对我国股市波动性影响的实证研究[J]. 财经论丛, 2017, 33(4): 55-60.

HU Yiwen. Empirical Analysis of Impacts of Margin Trading on Volatility of Chinese Stock Market[J]. , 2017, 33(4): 55-60.

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