摘要
本文区分并讨论了融资交易、融券交易及二者的波动对标的股价稳定性影响的不一致性。研究表明,融资交易提高了标的股价的整体稳定性却加剧了股价异常下跌频率,而融券交易对股价整体稳定性及异常下跌频率并不存在显著影响。更重要的是,融资交易的异常波动加剧了股价的不稳定,而融券交易的异常波动则有助于提高股价稳定性。本文的政策启示在于,应采取比较"温和"的方式调控融资交易以避免融资交易的过度波动加剧标的股价的不稳定。
This paper focuses on the effect of margin-trading and short-selling on underlying stock price stability, and takes the volatility of margin-trading and short-selling into consideration. We find that the introduction of margin-trading and short-selling decreases up-volatility of the underlying stock price while increases down-volatility, and both margin trading and short selling have shown the similar effect. Moreover, margin trading decreases the overall volatility of pilot-stock price, but short selling has no significant impact on the overall volatility. In addition, the volatility of margin trading does exacerbate stock price volatility while the volatility of short selling helps stabilize underlying stock price. Based on this paper, we suggest regulation of margin trading should be ＂smooth＂ in order to avoid excessive stock price instability caused by the volatility of margin trading.
作者
吕大永
吴文锋
LV Da-yong;WU Wen-feng(Antai College of Economics and Management, Shanghai Jiao Tong Universit)
出处
《经济理论与经济管理》
CSSCI
北大核心
2018年第4期49-62,共14页
Economic Theory and Business Management
基金
国家自然科学基金优秀青年基金项目(71222203)
国家自然科学基金项目(71772121)的资助
关键词
融资融券
融资交易波动
融券交易波动
市场稳定性
股价波动
margin trading and short selling
volatility of margin trading
market stability
stock price volatil volatility of short selling
