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本文运用实证分析来分析融资融券对我国上证指数波动的影响。本文选取了上海证券市场的日融资额、日融券量和上证指数作为研究对象,通过单位根检验、协整检验和Granger因果检验等实证研究方法,实证分析了融资融券对股市波动的影响。研究得出,融资额融券量与股市波动之间具有长期的协整关系;融资额融券量与股市波动之间不仅有相关关系,还具有因果关系,融资额引起了股市的波动,股市的波动也会引起融资额3~4天后的变化。最后通过状态空间分析发现上轮牛熊市期间融资额的波动对上证指数波动由负转正,存在动态正向影响,说明融资额波动是这段时间的股价波动原因之一。
This paper uses empirical analysis to analyze the impact of margin trading on the fluctuation of Shanghai Stock Index. This paper chooses the daily financing amount, the amount of daily securities trading in Shanghai stock market and the Shanghai stock index as the research object. Empirical research methods such as unit root test, cointegration test and Granger causality test are used to empirically analyze the influence of margin trading on the stock market volatility . The research shows that there is a long-term cointegration relationship between the amount of financing and the fluctuation of stock market. The relationship between the amount of financing and the fluctuation of stock market is not only related, but also has causality. The amount of financing has caused the fluctuation of the stock market. The fluctuations will also lead to changes in the amount of financing 3 to 4 days. Finally, through the analysis of state space, it is found that the fluctuation of financing volume in the last round of bull and bear market turns negative from positive to negative for the volatility of Shanghai Stock Index, which shows that the fluctuation of financing is one of the reasons for stock price fluctuation during this period.