融资融券对市场流动性和波动性影响研究——基于牛市前后上海证券市场数据

发布时间：2018-04-29 06:41

本文选题：融资融券 + 流动性　；参考：《财会通讯》2017年03期

【摘要】：本文基于VAR模型,对上海证券市场进行实证研究后发现,融资融券交易机制在牛市前后均降低了市场流动性;但在不同时期对市场波动性的影响不同。熊市期间融资融券交易与市场波动性间不存在因果引致关系;牛市期间在股价上涨阶段融资融券交易会加剧市场波动,而在股价下跌阶段市场波动会引起融资融券交易的变动。因此,本文提出逐步扩大转融券机制、降低融资融券交易费用和交易门槛等政策措施,为改善我国融资融券交易机制提供参考。
[Abstract]:Based on the VAR model, this paper makes an empirical study on the Shanghai stock market and finds that the margin trading mechanism reduces the market liquidity before and after the bull market, but the influence on the market volatility is different in different periods. There is no causal relationship between margin trading and market volatility during bear market. During bull market, margin trading will aggravate market volatility, while market volatility will cause margin trading to change during stock price decline. Therefore, this paper proposes to expand the margin mechanism step by step, reduce the margin trading costs and barriers, and provide a reference for improving the margin trading mechanism in China.
【作者单位】：合肥工业大学管理学院;
【基金】：国有科技型企业绩效评价体系研究(项目编号:2013AKRK0360) 战略性新兴产业投资效率问题研究(项目编号:2012HGBZ0632)的阶段性研究成果
【分类号】：F832.51

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