本文選題：融資融券 + 股票投資��； 參考：《技術(shù)經(jīng)濟(jì)與管理研究》2014年11期

【摘要】：文章基于2010年3月31日至2012年底滬市A股數(shù)據(jù)和融資融券余額交易數(shù)據(jù),通過(guò)建立誤差修正模型,利用協(xié)整檢驗(yàn)和Granger因果檢驗(yàn)的計(jì)量方法研究滬市A股指數(shù)和融資融券交易余額之間的關(guān)系,實(shí)證檢驗(yàn)融資融券交易的推行對(duì)于滬市A股指數(shù)的影響,結(jié)果表明:融資融券余額和滬市A股指數(shù)之間存在長(zhǎng)期穩(wěn)定的協(xié)整關(guān)系,滬市A股指數(shù)是融資融券余額的Granger因,但融資融券余額不是滬市A股指數(shù)的Granger因,股價(jià)的變動(dòng)會(huì)影響融資融券滯后一期和滯后二期的交易量,但融資融券的推行并沒(méi)有加劇A股市場(chǎng)的波動(dòng)。不過(guò)樣本期內(nèi)融資融券交易中融券賣空交易占比過(guò)少,融券賣空對(duì)沖作用的發(fā)揮受到賣空量的約束,應(yīng)通過(guò)增加賣空標(biāo)的、加快發(fā)展轉(zhuǎn)融券等方式提升融券賣空交易量。
[Abstract]:Based on the A-share data and margin margin balance trading data of Shanghai Stock Exchange from March 31, 2010 to the end of 2012, this paper establishes an error correction model.By using the method of cointegration test and Granger causality test, this paper studies the relationship between A-share index and margin trading balance of Shanghai stock market, and empirically examines the impact of the implementation of margin trading on A-share index of Shanghai stock market.The results show that there is a long-term stable cointegration relationship between margin balance and Shanghai A-share index. Shanghai A-share index is the Granger cause of margin balance, but margin balance is not Granger factor of Shanghai A-share index.The stock price changes will affect the margin margin lag and lag the trading volume of the second phase, but the introduction of margin lending did not increase the volatility of the A-share market.However, in the sample period of margin trading, short selling accounts for too little, and the hedging role of short selling is restricted by the amount of short selling. We should increase the short selling target and speed up the development of short short selling volume by means of increasing the short selling target and speeding up the development of short short selling volume.
【作者單位】： 暨南大學(xué)經(jīng)濟(jì)學(xué)院;
【分類號(hào)】：F832.51

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本文編號(hào)：1733732