#br# 融资融券加大了沪深股市波动吗*

融资融券设计初衷是通过融资加强市场流动性和通过融券提供投资者规避价格下跌风险的金融工具，改善由供求关系严重失衡导致市场巨幅震荡的局面，实现资本市场长期稳定的目标。实际操作中，融资融券疏通货币市场和资本市场间的资金流动，撬动巨额资金涌入股市；融资规模扩张过快而融券做空力量薄弱，业务结构发展严重失衡，导致两融业务具有“小冲击、大波动”的金融加速效应，放大了外部冲击引起股价上涨和下跌的幅度。协整回归分析表明，两融业务规模的扩张和收缩对上证指数涨跌具有显著的同向影响。TGARCH事件模型结果进一步证实融资融券从稳定股价到加剧波动的功能变化。随着标的股票扩容和业务常规化，两融业务导致股市投机过度，加剧了沪深两市的资产价格异动，没有达到平抑波动的设计预期。

DOES THE MARGIN TRADING AND SHORT SELLING INCREASE THE CHINESE STOCK MARKET VOLATILITY

The aims of designing margin trading and short selling are to increase the liquidity of stock market and to satisfy the demands to hedge market risk, thereby improving the huge fluctuation caused by imbalance of supply and demand The implementation of margin trading and short selling is to achieve the goal of capital markets long term stability In practice, margin trading and short selling make the funds flow between money market and capital market fluently, and lever huge funds flow into stock market Margin trading develops greatly while short selling develops slowly Their nature makes themselves exaggerate the shocks to the price volatility by attracting more speculator activities The result of cointegration regression shows that the margin trading and short selling have significant positive influence on Shanghai Stock Index The TGARCH event approach further show margin trading and short selling effectively reduce the volatility at the early stage As they developed, they significantly increase the market volatility and have failed to meet the expectation of the designers.