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、融券交易对市场和个股两个层面系统而全面的分析融资交易和融券交易的价格稳定作用。对市场波动性的影响的研究上主要借助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分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，除极个别个股的融资作用表现不确定。

Margin Impact on Volatility of the Market and then Individual Stocks

As one of the important systems of the stock market, margin trading theoretically should have price discovery, price stability, liquidity improving and other basic functions. This article starts from analysis the price stabilizing effect on the market and individual stocks from two levels ,systematically and comprehensively.The study of the effects of market volatility mainly goes through quantitative analysis method GARCH family models, VAR model, impulse response and variance decomposition; the impact on stocks mainly through panel data , on the overall effects and individual effect. The study found：margin trading almost have a stabilizing effect to index lfuctuations;margin trading have a stabilizing effect to the price of the underlying stocks, except some individual stocks has uncertain effects.