融资融券对我国股票市场波动性影响的实证研究
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摘要
选取2014年9月22日至2016年12月15日的545个融资融券指标数据,通过建立VEC模型研究融资融券对我国股票市场波动性的影响。结果显示,融资融券交易可以降低股市的波动性,但效果十分有限。应通过扩大交易标的股票范围、增加融资融券交易资金和股票供应量、降低业务准入门槛等措施,进一步发展融资融券业务,促进整个融资融券交易的活力,使融资融券交易发挥应有的作用。
From the margin trading data of 545 days from September 22 to December 15 in 2014,and the Vector Error Correction(VEC)model is set up to analyze the impact of margin trading on the volatility of Chinese stock market.Results show that the margin trading can indeed reduce the volatility of the stock market,but the effect is limited.We should promote the business by means of broadening the stock exchange,increasing margin trading funds,supply more stocks and lowering the standard for the trading to further promote the volatility of margin trading.
From the margin trading data of 545 days from September 22 to December 15 in 2014,and the Vector Error Correction(VEC)model is set up to analyze the impact of margin trading on the volatility of Chinese stock market.Results show that the margin trading can indeed reduce the volatility of the stock market,but the effect is limited.We should promote the business by means of broadening the stock exchange,increasing margin trading funds,supply more stocks and lowering the standard for the trading to further promote the volatility of margin trading.
引文
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[15]廖士光,张宗新.新兴市场引入卖空机制对股市的冲击效应——来自香港证券市场的经验证据[J].财经研究,2005,31(10):42-52.
[16]Battalio R,Schultz P.Options and the Bubble[J].The Journal of Finance,2006,61(5):2071-2102.
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[18]Miller E M.Risk,Uncertainty,and Divergence of Opinion[J].The Journal of Finance,1977,32(4):1151-1168.
[19]Hong H,Stein J C.Differences of Opinion,Short-sales Constraints,and Market Crashes[J].Review of Financial Studies,2003,16(2):487-525.
[20]Andersen T G,Bollerslev T,Diebold F X,et al.Micro Effects of Macro Announcements:Real-time Price Discovery in Foreign Exchange[R].National Bureau of Economic Research,2002.
[2]Henry T,McKenzie M.The Impact of Short Selling on the Price‐Volume Relationship:Evidence from Hong Kong[J].The Journal of Business,2006,79(2):671-691.
[3]Chang E C,Cheng J W,Yu Y.Short‐sales Constraints and Price Discovery:Evidence Fromthe Hong Kong Market[J].The Journal of Finance,2007,62(5):2097-2121.
[4]蔡笑.融资融券对股票市场的影响研究[D].苏州:苏州大学,2010.
[5]Woolridge J R,Dickinson A.Short Selling and Common Stock Prices[J].Financial Analysts Journal,1994,50(1):20-28.
[6]Angel J J.Short Selling on the NYSE[R].Unpublished manuscript,Georgetown University,1997.
[7]Charoenrook A,Daouk H.A Study of Market-wide Shortselling Restrictions[R].SSRN Working Paper Series,Rochester,Mar.,2005.
[8]廖士光,杨朝军.卖空交易机制对股价的影响——来自台湾股市的经验证据[J].金融研究,2005(10):131-140.
[9]Bai Y,Chang E C,Wang J.Asset Prices Under Short-sale Constraints[J].Exchange,2006,53:2205-2223.
[10]Cai J,Li Y,Xia L.Liquidity,Information Asymmetry and Short Sales Constraints:Evidencefrom the Hong Kong Stock Market[J].Information Asymmetry and Short Sales Constraints:Evidence from the Hong Kong Stock Market(December 1,2006),2006.
[11]Bris A,Goetzmann W N,Zhu N.Efficiency and the Bear:Short Sales and Markets around The world[J].The Journal of Finance,2007,62(3):1029-1079.
[12]陈淼鑫,郑振龙.卖空机制对证券市场的影响:基于全球市场的经验研究[J].世界经济,2008,31(12):73-81.
[13]Figlewski S,Webb G P.Options,short sales,and market completeness[J].The Journal of Finance,1993,48(2):761-777.
[14]Kraus A,Rubin A.The Effect of Short Sale Constraint Removal on Volatility in the Presence of Heterogeneous Beliefs[J].International Review of Finance,2003,4(3-4):171-188.
[15]廖士光,张宗新.新兴市场引入卖空机制对股市的冲击效应——来自香港证券市场的经验证据[J].财经研究,2005,31(10):42-52.
[16]Battalio R,Schultz P.Options and the Bubble[J].The Journal of Finance,2006,61(5):2071-2102.
[17]Bogen J I,Krooss H E.Security Credit:its Economic Role and Regulation[M].Englewood Cliffs,N.J.:Prentice-Hall,1960.
[18]Miller E M.Risk,Uncertainty,and Divergence of Opinion[J].The Journal of Finance,1977,32(4):1151-1168.
[19]Hong H,Stein J C.Differences of Opinion,Short-sales Constraints,and Market Crashes[J].Review of Financial Studies,2003,16(2):487-525.
[20]Andersen T G,Bollerslev T,Diebold F X,et al.Micro Effects of Macro Announcements:Real-time Price Discovery in Foreign Exchange[R].National Bureau of Economic Research,2002.