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融资融券机制是成熟完善的证券市场不可或缺的组成部分。我国自2010年3月起正式施行的两融机制不仅为证券市场参与者提供了一种全新的交易工具,更是弥补了我国证券市场缺少有效做空机制的弊端。本文以上证50指数作为标的,结合融资余额和融券余额变动率,从波动性和流动性角度出发,对我国证券市场融资融券交易的市场效应进行分析。结果表明,融资融券交易的施行对我国证券市场有着明显的积极作用,在增加了市场流动性的同时,降低了市场的波动性;融资交易对市场的影响远大于融券交易,主要是现阶段我国证券市场融资交易的规模远大于融券交易。政策建议:应对融资交易规模加以控制;进一步完善融券做空交易机制;协调推进融资交易规模与融券交易规模;加快推出个股期权。
Margin financing is an integral part of a well-established securities market. The formal implementation of the two financial mechanism in our country since March 2010 not only provides a new trading tool for the stock market participants, but also makes up for the shortcomings of the lack of an effective short mechanism in the securities market in our country. In this paper, we use the SSE 50 Index as the target, and analyze the market effect of margin trading in China’s securities market from the perspective of volatility and liquidity, based on the balance of financing and the rate of margin changes. The results show that the implementation of margin trading has a significant positive effect on the securities market in our country, which not only increases the liquidity of the market but also reduces the volatility of the market. The impact of the financing transaction on the market is much larger than that of the margin trading, The scale of financing transactions in China’s securities market is much larger than that of margin trading. Policy recommendations: the scale of financing transactions should be controlled; to further improve the trading mechanism of short selling securities; coordinate the scale of financing transactions and securities trading scale; speed up the introduction of individual stock options.