管理工程学报2017，Vol.31Issue(4)：109-115,7.DOI:10.13587/j.cnki.jieem.2017.04.014
融资融券制度对我国股票市场波动性影响的实证研究
Empirical study of the impact of margin trading system on Chinese stock market volatility
摘要
Abstract
Margin trading system has been introduced to Chinese stock market since 2010.One of the original intentions of the system design is to stabilize the stock market volatility.Since Chinese stock market is an emerging one,which is different from the mature market,whether margin trading system can play an inhibitory role of market volatility is worth studying.In light of increasing margin trading volume in Chinese stock market,we study the influence of margin trading on the Chinese stock market volatility.First,conceptual model and research hypothesis are established with theoretical analysis of the conductive process.We propose that there exists an inhibition mechanism of volatility based on expectation reversal effect as well as a reinforcement mechanism of volatility based on expectation momentum effect.Then,the changing process of margin trading on the stock price is subdivided into transaction channel and behavioral channel.We select 130 groups of weekly data as the research sample,which starts from the formal implementation of margin trading system in Chinese stock market to the end of June 2014.With respect to variables setting,the weekly financing transactions balance and securities load transactions balance are selected as financing transactions and securities load transactions variables,respectively.Descriptive index of stock market volatility is constructed according to the method by Duca and Anderson (2004),and discount rate of closed-end funds is used as sentiment substitution variable 6f investors.Based on data collection and variables setting,an empirical analysis is conducted to test the effect of margin trading system on the stock market volatility using the VAR model and Granger causality test.The empirical results show that margin trading system has an asymmetrical influence on stock market volatility.In financing transactions,the margin trading system inhibit the volatility based on expectation reversal effect,while in securities load transactions,it induce the reinforcement of volatility based on expectation momentum effect.The transaction channel hypothesis is verified in the empirical studies.Finally,our study shows that the influence of margin trading system on the volatility of Chinese stock market is still limited,but keeps increasing.In order to further stabilize the Chinese stock market volatility,relevant proposals for improving margin trading system are recommended in the paper,which are expanding the object stock range,regulating financing channels,adjusting margin leverage funding level timely,and strengthening operation supervision of margin trading system.关键词
波动性/融资融券制度/预期惯性Key words
Volatility/Margin trading system/Expectations inertia分类
管理科学引用本文复制引用
张博,扈文秀,杨熙安..融资融券制度对我国股票市场波动性影响的实证研究[J].管理工程学报,2017,31(4):109-115,7.基金项目
国家自然科学基金资助项目(71373204) （71373204）
陕西省自然科学基础研究资助项目(2014JM9366) （2014JM9366）
