加权股指收益率对融资融券交易的影响

发布时间：2018-03-08 02:09

本文选题：融资融券　切入点：加权股指　出处：《北京工商大学学报(社会科学版)》2017年04期 　论文类型：期刊论文

【摘要】：融资融券业务的发展进一步完善了我国股市的做空机制。选取沪深两市278只融资融券标的股票作为研究对象,应用ARIMA模型,实证研究了加权股指收益率对融资融券交易的影响。研究发现:加权股指收益率和波动率对融资和融券交易均具有显著的影响,且影响呈对称性;融资和融券交易对加权股指收益率均存在影响,但方向相反,即在股价上升时,融资交易对股价有助涨之嫌,而融券交易可以起到平抑股价的作用;转融通业务的推出显著增强了加权股指收益率对融资融券交易的影响。我国融资融券业务的不断开展放松了卖空约束,完善了市场的价格发现功能,并拓宽了投资渠道,增进了市场效率。
[Abstract]:The short selling mechanism of China's stock market has been further improved by the development of margin financing and short selling business. The ARIMA model is applied to the study of 278 stocks in Shanghai and Shenzhen stock markets. The paper empirically studies the influence of weighted stock index return on margin trading. It is found that the weighted stock index yield and volatility have significant effects on both financing and margin trading, and the influence is symmetrical; Both financing and margin trading have influence on the weighted stock index yield, but the direction is opposite, that is, when the stock price rises, the financing transaction can help the stock price to rise, and the short bond trading can play the role of stabilizing the stock price; The introduction of transposing has significantly enhanced the influence of weighted stock index returns on margin trading. The continuous development of margin trading in China has relaxed the constraints of short selling, improved the price discovery function of the market, and broadened investment channels. Improved market efficiency.
【作者单位】：北京大学经济学院;
【分类号】：F832.51

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