融资融券交易的市场冲击效应研究——基于中国台湾证券市场的经验与启示

融资融券交易是证券市场的重要组成部分,它的推出会对整个市场产生何种影响是非常值得研究的问题.文章利用中国台湾证券市场的融资融券交易数据,从市场流动性与波动性角度研究融资融券交易对整个市场的冲击效应.研究结果表明,融资买空交易有助于提升整个市场的流动性水平,在一定程度上可以改善市场流动性水平相对不足的状况,但融券卖空交易对市场流动性水平没有显著影响;融资买空与融券卖空交易并未显著影响整个市场的波动性水平.文章建议证券监管部门可以将融资融券交易保证金率作为市场调控工具,通过适时调整保证金率调控整个市场,避免市场出现大幅震荡.

The Study on the Impact Effects of Margin Trading on Stock Market: Evidence and Enlightenments from Taiwan Stock Market in China

Margin trading is an important part of stock market,and it is necessary to study the impact of margin trading on stock market.Using the margin trading data from Taiwan stock market in China,this paper discusses the impact effect of margin trading on the whole stock market from the angles of market liquidity and fluctuation.The results reveal that margin purchase is apt to enhance market liquidity,while short sale has no significant effects on market liquidity,and margin trading does not affect market fluctuation remarkably.This paper suggests that margin rate could be a adjusting and controlling tool.The securities supervision authority could adequately adjust margin rate to avoid big fluctuations on stock market.