期刊论文

中文

财经理论与实践

1003-7217

2016

37

6

47-52

10.3969/j.issn.1003-7217.2016.06.008

国家自然科学基金项目(71373072) 高等学校博士点专项科研基金项目(20130161110031)

本校为其他机构

以2010年4月2日～2016年7月21日的中国证券市场交易数据为样本,运用小波CCC-GARCH模型,考量融资融券交易对证券市场波动率的影响.结果表明,融资交易行为对证券市场收益率和成交量的波动均有较显著的影响,而融券交易对市场波动率的影响不显著.同时,融资交易行为对市场的影响主要由高频信号所驱动,投资者短期非理性行为或噪音交易对市场波动的影响较大.为促进市场的健康发展,应均衡融资融券业务的发展,培养理性机构投资者,加强投资者风险警示加快融资融券数据库的建设.

To understand the impact of margin trading business on the security market volatility,we use the wavelet CCC-GARCH models to conduct an empirical research by taking the market trading data from April 2,2010 to July 21,2016 as the samples.The results show that the margin financing has a significantly positive relationship with the return and the trading volume volatility of security market,while the influence of short selling is not significant.Meanwhile,the influence of margin trading on market volatility is mostly driven by the high frequency signal,and the irrational behavior or noise tradin...