融资融券对股市流动性的影响研究——基于沪深A股市场的实证分析
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摘要
我国融资融券制度自2010年正式推行以来,对其在证券市场是否发挥了预期作用,学者们进行了诸多研究探讨,结论不一。本文以2013年3月16日—2018年6月30日沪深两市交易数据为研究对象,通过构建VAR模型、Granger因果检验、脉冲响应分析以及方差分解的方法,分三个阶段分析两融交易对我国股市流动性的实际作用。经过实证研究,本文得出以下结论:在三个阶段中,融资均是股市流动性的Granger原因,对股市流动性提高有积极作用;融券不是股市流动性的Granger原因,对股市流动性没有明显作用。同时发现,在第二阶段和第三阶段,融资融券互为Granger因果关系,融券可通过影响融资进而影响股市流动性。在第三阶段,股市流动性是融券的Granger原因,股市流动性会影响融券交易额。
Since China's margin trading system was formally implemented in 2010, scholars have made a lot of research and discussion on its expected role in the stock market, but the answers are different. Taking the trading data of Shanghai and Shenzhen Stock Exchanges from March 16, 2013 to June 30, 2018 as the research object, the paper conducts an empirical study in three stages: the upstream, downward and forward of stock market volatility, and then analyzes the actual effect of the two financial transactions on the liquidity of China's stock market by VAR model, Granger causality test, impulse response analysis and variance decomposition method. Through empirical research in this article come to the following conclusions. In the three stages, financing is the Granger cause of stock market liquidity, which has a positive effect on the improvement of stock market liquidity, and securities loan is not the Granger cause of stock market liquidity, which has little effect on stock market liquidity. At the same time, we find that in the second and third stages, financing and securities loan are the interrelationship of Granger cause, and securities loan can affect stock market liquidity by influencing financing. In the third stage, stock market liquidity is the Granger cause of securities loan, and stock market liquidity will affect the volume of securities loan.
Since China's margin trading system was formally implemented in 2010, scholars have made a lot of research and discussion on its expected role in the stock market, but the answers are different. Taking the trading data of Shanghai and Shenzhen Stock Exchanges from March 16, 2013 to June 30, 2018 as the research object, the paper conducts an empirical study in three stages: the upstream, downward and forward of stock market volatility, and then analyzes the actual effect of the two financial transactions on the liquidity of China's stock market by VAR model, Granger causality test, impulse response analysis and variance decomposition method. Through empirical research in this article come to the following conclusions. In the three stages, financing is the Granger cause of stock market liquidity, which has a positive effect on the improvement of stock market liquidity, and securities loan is not the Granger cause of stock market liquidity, which has little effect on stock market liquidity. At the same time, we find that in the second and third stages, financing and securities loan are the interrelationship of Granger cause, and securities loan can affect stock market liquidity by influencing financing. In the third stage, stock market liquidity is the Granger cause of securities loan, and stock market liquidity will affect the volume of securities loan.
引文
[1]陈海强,范云菲.融资融券交易制度对中国股市波动率的影响——基于面板数据政策评估方法的分析[J].金融研究,2015,(06):159-172.
[2]谷文林,孔祥忠.融资融券业务对市场资本流动性的短期影响[J].证券市场导报,2010,(07):50-52.
[3]黄巍巍.融资融券交易对股市流动性的影响研究——基于沪深A股市场的实证分析[J].中国物价,2018,(10):34-37.
[4]王旻,廖士光,吴淑琨.融资融券交易的市场冲击效应研究——基于中国台湾证券市场的经验与启示[J].财经研究,2008,(10):99-109.
[5]杨德勇,吴琼.融资融券对上海证券市场影响的实证分析——基于流动性和波动性的视角[J].中央财经大学学报,2011,(05):28-34.
[6]褚剑.中国式融资融券制度安排与股价崩盘风险的恶化[J].经济研究,2016,(05):143-158.
[7]Hardouvelis G A. Margin Requirements, Volatility, and the Transitory Component of Stock Prices[J]. American Economic Review,1990,(4):736-762.
[8]Scheinkman J A,Xiong W. Overconfidence and Speculative Bubbles[J]. Journal of Political Economy, 2003,(6):1183-1219.
[2]谷文林,孔祥忠.融资融券业务对市场资本流动性的短期影响[J].证券市场导报,2010,(07):50-52.
[3]黄巍巍.融资融券交易对股市流动性的影响研究——基于沪深A股市场的实证分析[J].中国物价,2018,(10):34-37.
[4]王旻,廖士光,吴淑琨.融资融券交易的市场冲击效应研究——基于中国台湾证券市场的经验与启示[J].财经研究,2008,(10):99-109.
[5]杨德勇,吴琼.融资融券对上海证券市场影响的实证分析——基于流动性和波动性的视角[J].中央财经大学学报,2011,(05):28-34.
[6]褚剑.中国式融资融券制度安排与股价崩盘风险的恶化[J].经济研究,2016,(05):143-158.
[7]Hardouvelis G A. Margin Requirements, Volatility, and the Transitory Component of Stock Prices[J]. American Economic Review,1990,(4):736-762.
[8]Scheinkman J A,Xiong W. Overconfidence and Speculative Bubbles[J]. Journal of Political Economy, 2003,(6):1183-1219.