融资融券对股指收益率波动的影响

发布时间：2018-06-15 18:15

本文选题：融资融券 + 上证指数　；参考：《金融论坛》2012年05期

【摘要】：本文利用TGARCH模型研究了融资融券制度对上证50和深证成指日收益率波动性的影响。研究结果表明,实行融资融券后,上证50和深证成指日收益率的波动均有所下降,融资融券具有一定的稳定市场的作用,其中上证50的表现好于深证成指。但是收益率波动的下降都比较少,短期内融资融券对市场的作用不明显。由于初期的入市资金有限,因此融资融券业务对市场的影响主要在心理层面上,对市场的直接影响很小。但是随着试点规模的扩大,将会有越来越多的信用资金进入股市,因此融资融券业务对股市的影响是渐进的,其长期影响则是深远的。
[Abstract]:In this paper, we use TGARCH model to study the influence of margin lending system on the volatility of Shanghai Stock Exchange 50 and Shenzhen Stock Exchange. The research results show that the daily yield fluctuation of Shanghai Stock Exchange 50 and Shenzhen Composite Index has decreased after the practice of margin lending. Margin has a certain role of stabilizing the market, among which Shanghai Stock Exchange 50 performs better than Shenzhen Composite Index. But the rate of return fluctuates the decline is relatively small, short-term financing margin to the market function is not obvious. Because of the limited capital in the initial stage, the influence of margin financing on the market is mainly on the psychological level, and the direct influence on the market is very small. But with the expansion of the pilot scale, more and more credit funds will enter the stock market, so the impact of margin financing on the stock market is gradual, and its long-term impact is far-reaching.
【作者单位】：中央财经大学金融学院;民泰金融研究所;
【分类号】：F832.51;F224

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