摘要
基于转融通制度推出前后沪深300指数的波动率以及日收益率,结合融资余额与融券余额的变化率,通过GARCH等模型进行实证分析,研究结果表明融资交易余额的增加加大了股市的波动性,而融券余额的增加则对股市波动性起到抑制作用;转融通业务开启后,融资融券在降低我国股市波动性方面起到了更好的作用。这体现了我国融券做空机制尚有待完善和扩充以便更好地制衡市场中过度的多头杠杆投机部位。
This paper conducts an empirical research based on HS300 Index＇s daily return data, volatility data, daily change rate of buying and short- selling market capitalization on margin, using such statistical models as GARCH. Empirical results show that increased amount of buying on margin activities gives rise to the growth of market volatility while short selling, on the contrary, contributes to market stability. After the in- ception of refinancing mechanism, volatility of market is further cut down. It is suggested that the authorities enlarge short selling target securities and make short selling investors a greater role in balancing the excessive speculative buying power.
作者
刘光彦
郝芳静
罗阁一
LIU Guang-yan HAO Fang-jing LUO Ge-yi(School of Finance, Shandong Technology and Business University, Yantai 264005, China School of Finance, Guangdong University of Finance and Economics, Guangzhou 510320, China)
出处
《湖南科技大学学报（社会科学版）》
CSSCI
北大核心
2017年第2期100-105,共6页
Journal of Hunan University of Science and Technology(Social Science Edition)
