摘要
自融资融券交易业务引入以来,“两融”余额不断增加,但实际上其并未对我国股市产生显著影响。运用线性回归和VAR模型分析2010—2020年深交所的相应数据,探索“两融”交易对中国股市波动的影响及方向和程度。研究显示,融券余额变动对波动性的影响并不稳定,对影响方向具有不确定性,而融资余额有相对明显的趋势,可以增强股市波动性。就其影响程度来说,股市波动对融资交易更为敏感,受其影响比受融券交易更大。
Since the introduction of margin trading,the balance of the two loans has been increasing,but in fact it has not had a significant impact on China's stock market.Using linear regression and VAR model to analyze the corresponding data of Shenzhen Stock Exchange from 2010 to 2020,this paper explores the impact,direction and degree of the two financial transactions on the volatility of China's stock market.Re-search shows that the impact of changes in securities lending balance on volatility is not stable,and the direction of impact is uncertain,while the financing balance has a relatively obvious trend,which can enhance the volatility of the stock market.In terms of the degree of impact,stock market fluctuations are more sensitive to financing transactions,and are more affected by them than by securities lending transactions.
作者
陈昆
张杨
刘钰芯
訾盛杰
CHEN Kun;ZHANG Yang;LIU Yu Xin;ZI Sheng Jie(School of Finance,Nanjing Audit University,Nanjing Jiangsu,21185,China)
出处
《安庆师范大学学报（社会科学版）》
2022年第4期78-84,共7页
Journal of Anqing Normal University：Social Science Edition
基金
江苏省社会科学基金青年项目“汇率影响生产率的机制、经验及政策设计”(18EYC005)
江苏省高校优势学科三期南京审计大学应用经济学(苏政办发〔2018〕87号)。
关键词
融资融券
股市波动
VAR模型
Margin trading
Stock market fluctuation
VAR model
