| 信用交易保证金与股价波动关系研究 |
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| 引用本文： | 王旻,廖士光.信用交易保证金与股价波动关系研究[J].上海立信会计学院学报,2009,23(1). |
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| 作者姓名： | 王旻 廖士光 |
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| 作者单位： | 1. 上海交通大学经济与管理学院,上海,200052
2. 上海证券交易所研究中心,上海,200120 |
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| 摘 要： | 通过对境外市场保证金变动对股价波动影响的实证结果进行梳理后发现,保证金的调整对市场波动产生两种相反的效果,即流动性效果和投机性效果,保证金对市场波动的影响取决于两种效果的力量对比,如果流动性效果较强,则调整保证金对股价波动无影响或加剧市场波动,反之,则会减轻市场波动。
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| 关 键 词： | 保证金 市场波动 投机性效果 流动性效果 |
The Study on the Relationships between the Margin Rate Change and Stock Market Volatility |
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| WANG Min,LIAO Shi-guang.The Study on the Relationships between the Margin Rate Change and Stock Market Volatility[J].Journal of Shanghai Lixin University of Commerce,2009,23(1). |
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| Authors: | WANG Min LIAO Shi-guang |
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| Institution: | 1.School of Economics & Management School;Shanghai Jiao Tong University;Shanghai 200052;China;2.Research Center;Shanghai Stock Exchange;Shanghai 200120;China |
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| Abstract: | Affer reviewing the empirical results in overseas market about the effects that changes of morgin rate have on stock volatility,the paper finds that the changes of margin rate have formed two opposite effects on the market,one is liquidity effect and the other is speculative effect.The influence that the margin has on the market volatility depends on the strength balance of the two effects.If the liquidity effect is larger than the speculative effect,then the changes of margin rate have no effect on the mar... |
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| Keywords: | margin market volatility speculative effect liquidity effect |
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