西安理工大学学报2017，Vol.33Issue(1)：119-126,8.DOI:10.19322/j.cnki.issn.1006-4710.2017.01.022
融资融券对股票市场流动性影响的实证研究
Empirical study of the impact of margin trading system on the stock market liquidity
摘要
Abstract
Under the background of increasing margin trading scale in Chinese stock market,the study of its influence on the stock market liquidity is made in this paper.Through a theoretical analysis of the conductive process,the conceptual model and research hypothesis are established,which proposes that there exists different expectations for the inertia model.The influencing process of margin trading on the stock market liquidity is also deduced to be subdivided as transaction channel,volatility channel and participation channel.Based on data collection and variables setting,by using the VAR model and Granger causality test,an empirical analysis is made to test the actual effect of margin trading system on the stock market liquidity in Chinese A share market.The volatility channel hypothesis is fully verified in the empirical study of financing trading system on the stock market liquidity,with the transaction channel and participation channel hypothesis not verified.关键词
股票市场流动性/融资融券/预期惯性Key words
stock market liquidity/margin trading/expectations inertia分类
管理科学引用本文复制引用
张博,李艳萍,YANG Allen..融资融券对股票市场流动性影响的实证研究[J].西安理工大学学报,2017,33(1):119-126,8.基金项目
国家自然科学基金资助项目(71373204) （71373204）
