摘要
选取2010年4月1日-2019年11月29日的融资余额、融券余额和沪深300指数的日度交易数据,运用Granger因果关系检验、VAR模型和脉冲响应函数等方法研究融资融券交易对中国股市波动性的影响.结果表明:融资融券交易与股市波动具有双向Granger因果关系;融资融券交易对股市波动具有显著的负向冲击,即对股市波动具有抑制作用,但其影响程度较小;与融资交易相比,融券交易对股市波动的影响程度较小.
Based on the daily transaction data of the margin trading,short selling and Shanghai-Shenzhen 300 Index from April 1,2010 to November 29,2019,this paperstudies the impact of margin trading and short selling on the volatility of China’s stock market through methods such as Granger causality test,VAR model and impulse response function.The results show that:Margin trading,short selling and stock market fluctuations have a two-way Granger causal relationship;Margin trading and short selling has a significant negative impact on stock market volatility,that is,it has a suppressive effect on stock market fluctuations,but its impact is small.Compared with margin trading,margin trading has less impact on stock market volatility.
作者
林涛
LIN Tao(College of Big Data Applications and Economics,Guizhou University of Finance and Economics,Guiyang,Guizhou 550025,China;Western China Collaborative Innovation Center for Poverty Reduction and Development,Guizhou University of Finance and Economics,Guiyang,Guizhou 550025,China)
出处
《平顶山学院学报》
2021年第2期86-92,共7页
Journal of Pingdingshan University
基金
国家社会科学基金项目(18XTJ004)
贵州财经大学与商务部国际贸易经济合作研究院联合基金项目(2017SWBZD20)。
关键词
融资
融券
股市波动性
VAR模型
margin trading
short selling
stock market volatility
VAR model
