融资融券交易对市场和标的个股波动影响的研究

作为证券市场的重要制度之一，融资融券交易理论上应具有价格发现、价格稳定、提高流动性等基本功能。本文从融资、融券交易的价格稳定理论机制出发，从市场和个股两个层面系统而全面地分析融资交易和融券交易的价格稳定作用。理论研究以融资融券改变股票供求弹性作为理论机理。实证部分，对市场波动性的影响研究主要借助GARCH族模型、VAR模型、脉冲响应和方差分解等计量分析方法；在对个股的影响上主要是借助面板数据对个股的总体效应和个体效应展开分析。研究发现：融资交易对指数波动没有显著影响，融券交易对指数波动有一定平抑作用；融资融券交易对标的个股有价格稳定作用。

The Research on the Impact of Margin Trading on the Individual Stocks Volatility of Market and Bid

As one of the important systems of the stock market, margin trading in theory should have the basic functions such as price discovery, price stability, increasing liquidity and so on. From the mechanism of price stability theory of the margin trading, the paper systematically and comprehensively analyzes the price stability functions of the margin trading from two levels of the market and individual stocks. Theoretical study takes the margin’s changing the stock supply and demand elasticity as the theoretical mechanism. In the empirical study part, the paper studies the effect on the market volatility by means of quantitative analysis methods such as GARCH family models, VAR model, impulse response and variance decomposition, and the impact on individual stocks mainly through the analysis on the overall effect and individual effect of panel data on the individual stocks. The study finds that margin trad-ing has no significant effect on the index fluctuations, has the restraining effect on the index fluctuations, and has the stabilizing effect on the price of the individual underlying stocks.